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 -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 with consistency in terms of almost sure convergence
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