Article ID Journal Published Year Pages File Type
4608551 Journal of Complexity 2015 15 Pages PDF
Abstract

When approximately calculating integrals of high dimension with the Monte Carlo method, one uses fewer values of the integrand than when calculating with the help of classical deterministic quadrature formulas.However, the error estimation for the Monte Carlo method does not depend on the smoothness of the integrand. This suggests that it is possible to obtain methods that give a better order of convergence in case of smooth functions.

Related Topics
Physical Sciences and Engineering Mathematics Analysis
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