Optimal Stochastic Quadrature Formulas For Convex Functions

TitleOptimal Stochastic Quadrature Formulas For Convex Functions
Publication TypeTechnical Report
Year of Publication1993
AuthorsNovak, E., & Petras K.
Other Numbers801
Abstract

We study optimal stochastic (or Monte Carlo) quadrature formulas for convex functions. While nonadaptive Monte Carlo methods are not better than deterministic methods we prove that adaptive Monte Carlo methods are much better.

URLhttp://www.icsi.berkeley.edu/ftp/global/pub/techreports/1993/tr-93-013.pdf
Bibliographic Notes

ICSI Technical Report TR-93-013

Abbreviated Authors

E. Novak and K. Petras

ICSI Publication Type

Technical Report