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Session III.5 - Information-Based Complexity

Wednesday, June 21, 17:00 ~ 17:30

Consistency of randomized integration methods

Daniel Rudolf

Universität Passau, Germany   -   This email address is being protected from spambots. You need JavaScript enabled to view it.

We present a characterization of the consistent estimation of expectations of integrable functions with respect to a class of Monte Carlo methods. Consistency here refers to convergence in mean and/or convergence in probability of the estimator to the integral of interest. Moreover, the aforementioned class of methods contains averages based on randomized digital nets, Latin hypercube sampling randomized Frolov as well as Cranley-Patterson rotated point sets.

Joint work with Julian Hofstadler (Universität Passau, Germany).

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