Robust numerical integration and pairwise independent random variables

https://doi.org/10.1016/S0377-0427(01)00394-6Get rights and content
Under an Elsevier user license
open archive

Abstract

A numerical integration method by means of random samples is called robust, if the variance of its error is as small as that of the i.i.d.-sampling for any integrand. To reduce the randomness of robust numerical integration, we use pairwise random samples instead of i.i.d. samples. Among others, we recommend the discrete random Weyl sampling for the quick generation of pairwise independent samples.

MSC

65C05
65D05

Keywords

Robust numerical integration
Pairwise independent sampling
Discrete random Weyl sampling

Cited by (0)

1

Partially supported by Grant-in-Aid for scientific research 11440034 Min. Education, Japan.