A MINIMAX PRINCIPLE FOR THE OPTIMAL ERROR OF MONTE-CARLO METHODS

被引：7

作者：

MATHE, P ^{[1
]}

机构：

[1] INST ANGEW ANAL & STOCHAST,O-1086 BERLIN,GERMANY

来源：

CONSTRUCTIVE APPROXIMATION | 1993年 / 9卷 / 01期

关键词：

OPTIMAL MONTE-CARLO METHODS; MINIMAX THEOREM; CHARACTERIZATION OF LEAST FAVORABLE DISTRIBUTIONS;

D O I：

10.1007/BF01229334

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

Some results are proved showing that the average case error with least favorable distribution and the optimal error of appropriate Monte Carlo methods coincide in several cases. The results are based on a special Minimax Theorem, derived from Ky Fan's Lemma. Finally, an application is given to the case of Banach spaces having ''few'' extreme points.

引用

页码：23 / 39

页数：17

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