Monte Carlo Variance of Scrambled Net Quadrature

  • Authors:

  • Art B. Owen

  • Affiliations:

  • -

  • Venue:
  • SIAM Journal on Numerical Analysis
  • Year:
  • 1997

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Abstract

Hybrids of equidistribution and Monte Carlo methods of integration can achieve the superior accuracy of the former while allowing the simple error estimation methods of the latter. This paper studies the variance of one such hybrid, scrambled nets, by applying a multidimensional multiresolution (wavelet) analysis to the integrand. The integrand is assumed to be measurable and square integrable but not necessarily of bounded variation. In simple Monte Carlo, every nonconstant term of the multiresolution contributes to the variance of the estimated integral. For scrambled nets, certain low-dimensional and coarse terms do not contribute to the variance. For any integrand in L2, the sampling variance tends to zero faster under scrambled net quadrature than under Monte Carlo sampling, as the number of function evaluations n tends to infinity. Some finite n results bound the variance under scrambled net quadrature by a small constant multiple of the Monte Carlo variance, uniformly over all integrands f. Latin hypercube sampling is a special case of scrambled net quadrature.