On the effective dimension and multilevel Monte Carlo
نویسندگان
چکیده
I consider the problem of integrating a function f over d-dimensional unit cube. describe multilevel Monte Carlo method that estimates integral with variance at most ϵ2 in O(d+log(d)dtϵ−2) time, for ϵ>0, where dt is truncation dimension f. The standard typically achieves such O(dϵ−2) time. A lower bound order d+dtϵ−2 described class methods.
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ژورنال
عنوان ژورنال: Operations Research Letters
سال: 2022
ISSN: ['0167-6377', '1872-7468']
DOI: https://doi.org/10.1016/j.orl.2022.06.001