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Optimal Monte Carlo Algorithms

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1 Author(s)
Ivan T. Dimov ; Bulgarian Academy of Sciences

The question "what Monte Carlo can do and cannot do efficiently" is discussed for some functional spaces that define the regularity of the input data. Important for practical computations data classes are considered: classes of functions with bounded derivatives and Holder type conditions. Theoretical performance analysis of some algorithms with unimprovable rate of convergence is given. Estimates of complexity of two classes of algorithms eterministic and randomized for the solution of a class of integral equations are presented

Published in:

IEEE John Vincent Atanasoff 2006 International Symposium on Modern Computing (JVA'06)

Date of Conference:

3-6 Oct. 2006