English

Consistency of randomized integration methods

Numerical Analysis 2023-02-15 v3 Numerical Analysis

Abstract

We prove that a class of randomized integration methods, including averages based on (t,d)(t,d)-sequences, Latin hypercube sampling, Frolov points as well as Cranley-Patterson rotations, consistently estimates expectations of integrable functions. Consistency here refers to convergence in mean and/or convergence in probability of the estimator to the integral of interest. Moreover, we suggest median modified methods and show for integrands in LpL^p with p>1p>1 consistency in terms of almost sure convergence

Keywords

Cite

@article{arxiv.2203.17010,
  title  = {Consistency of randomized integration methods},
  author = {Julian Hofstadler and Daniel Rudolf},
  journal= {arXiv preprint arXiv:2203.17010},
  year   = {2023}
}

Comments

17 pages. Accepted for publication in Journal of Complexity

R2 v1 2026-06-24T10:33:17.677Z