Approximate and integrate: Variance reduction in Monte Carlo integration via function approximation

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Event details

Date 06.07.2018
Hour 11:1512:15
Speaker Prof. Yuji Nakatsukasa (National Institute of Informatics, Tokyo, Japan)
Location
Category Conferences - Seminars

Classical algorithms in numerical analysis for numerical integration
(quadrature/cubature) follow the principle of approximate and integrate:
the integrand is approximated by a simple function (e.g. a polynomial), which is then integrated exactly. In high-dimensional integration, such methods quickly become infeasible due to the curse of dimensionality. A common alternative is the Monte Carlo method (MC), which simply takes the average of random samples, improving the estimate as more and more samples are taken. The main issue with MC is its slow (though
dimension-independent) convergence, and various techniques have been proposed to reduce the variance. In this talk we suggest a numerical analyst's interpretation of MC: it approximates the integrand with a constant function, and integrates that constant exactly. This observation leads naturally to MC-like methods where the approximant is a non-constant function, for example low-degree polynomials, sparse grids or low-rank functions. We show that these methods have the same O(1/sqrt(N)) asymptotic convergence as in MC, but with reduced variance, equal to the quality of the underlying function approximation. We also discuss methods that improve the approximation quality as more samples are taken, and thus can converge faster than O(1/sqrt(N)). The main message is that techniques in high-dimensional approximation theory can be combined with Monte Carlo integration to accelerate convergence.

Practical information

  • Informed public
  • Free

Organizer

  • Prof. Daniel Kressner

Contact

  • Prof. Daniel Kressner

Tags

mathicse

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