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math.NA2018
Optimal confidence for Monte Carlo integration of smooth functions
Robert J. Kunsch, Daniel Rudolf
We study the complexity of approximating integrals of smooth functions at absolute precision with confidence level . The optimal error rate for mu…
math.NA2018★ 1 cited
Solvable Integration Problems and Optimal Sample Size Selection
Robert J. Kunsch, Erich Novak, Daniel Rudolf
We compute the integral of a function or the expectation of a random variable with minimal cost and use, for our new algorithm and for upper bounds of the complexity, i.i.d. sample…