Monte Carlo Methods with Reduced Error
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- Jocelyn Snow
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1 Monte Carlo Methos with Reuce Error As has been shown, the probable error in Monte Carlo algorithms when no information about the smoothness of the function is use is Dξ r N = c N. It is important for such computational schemes an ranom variables that a value of ξ is chosen so that the variance is as small as possible. Monte Carlo algorithms with reuce variance compare to Plain Monte Carlo algorithms are usually calle efficient Monte Carlo algorithms. The techniques use to achieve such a reuction are calle variance-reuction techniques. Let us consier several classical algorithms of this kin.
2 Separation of Principal Part Consier again the integral I = Ω f(x)p(x)x, (16) where f L 2 (Ω, p), x Ω IR. Let the function h(x) L 2 (Ω, p) be close to f(x) with respect to its L 2 norm; i.e. f h L2 ε. Let us also suppose that the value of the integral is known. Ω h(x)p(x)x = I The ranom variable θ = f(ξ) h(ξ) + I generates the following estimate for
3 the integral (16) θ N = I + 1 N N [f(ξ i ) h(ξ i )]. (17) i=1 Obviously Eθ N = I an (17) efines a Monte Carlo algorithm, which is calle the Separation of Principal Part algorithm. A possible estimate of the variancevariance of θ is Dθ = Ω [f(x) h(x)] 2 p(x)x (I I ) 2 ε 2. This means that the variance an the probable error will be quite small, if the function h(x) is such that the integral I can be calculate analytically. The function h(x) is often chosen to be piece-wise linear function in orer to compute the value of I easily.
4 Integration on a Subomain Let us suppose that it is possible to calculate the integral analytically on Ω Ω an f(x)p(x)x = I, Ω p(x)x = c, Ω where 0 < c < 1. Then the integral (16) can be represente as where Ω 1 = Ω Ω. I = Ω 1 f(x)p(x)x + I, Let us efine a ranom point ξ, in Ω 1, with probability ensity function p 1 (x ) = p(x )/(1 c) an a ranom variable θ = I + (1 c)f(ξ ). (18)
5 Obviously Eθ = I. use to compute I Therefore, the following approximate estimator can be θ N = c + 1 N N (1 + c) f(ξ i), where ξ i are inepenent realizations of the -imensional ranom point ξ. The latter presentation efines the Integration on Subomain Monte Carlo algorithm. The next theorem compares the accuracy of this Monte Carlo algorithm with the Plain Monte Carlo. i=1 Theorem 1. If the variance Dθ exists then Dθ (1 c)dθ. Proof 1. Let us calculate the variances of both ranom variables θ (efine
6 by (11) an θ (efine by (18)): Dθ = Ω f 2 p x I 2 = Ω 1 f 2 p x + Ω f 2 p x I 2 ; (19) Dθ = (1 c) Ω 2 f 2 p 1 x [(1 c) fp 1 x] 2 1 Ω 1 = (1 c) f 2 p x Ω 1 ( ) 2 fp x. (20) Ω 1 Multiplying both sies of (19) by (1 c) an subtracting the result from (20) yiels (1 c)dθ Dθ = (1 c) f 2 p x (1 c)i 2 (I I ) 2. Ω
7 Using the nonnegative value b 2 Ω (f I c ) 2 p(x)x = Ω f 2 p x I 2 c, one can obtain the following inequality (1 c)dθ Dθ = (1 c)b 2 + ( ci I / c) 2 0 an the theorem is prove.
8 Symmetrization of the Integran For a one-imensional integral I 0 = b a f(x)x on a finite interval [a, b] let us consier the ranom point ξ (uniformly istribute in this interval) an the ranom variable θ = (b a)f(ξ). Since Eθ = I 0, the Plain Monte Carlo algorithm leas to the following approximate estimate for I 0 : θ N = b a N f(ξ i ), N where ξ i are inepenent realizations of ξ. Consier the symmetric function i=1 f 1 (x) = 1 [f(x) + f(a + b x)], 2
9 the integral of which over [a, b] is equal to I 0. Consier also the ranom variable θ efine as θ = (b a)f 1 (ξ). Since Eθ = I 0, the following symmetrize approximate estimate of the integral may be employe: θ N = b a 2N N [f(ξ i ) + f(a + b ξ i )]. i=1 Theorem 2. If the partially continuous function f is monotonic in the interval a x b, then Dθ 1 2 Dθ. Proof 2. The variances of θ an θ may be expresse as Dθ = (b a) b a f 2 (x)x I 2 0, (21)
10 b b 2Dθ = (b a) f 2 x + (b a) f(x)f(a + b x)x I0. 2 (22) a a From (21) an (22) it follows that the assertion of the theorem is equivalent to establishing the inequality (b a) b a f(x)f(a + b x)x I 2 0. (23) Without loss of generality, suppose that f is non-ecreasing, f(b) > f(a), an introuce the function v(x) = (b a) x a f(a + b t)t (x a)i 0, which is equal to zero at the points x = a an x = b. The erivative of v, namely v (x) = (b a)f(a + b x) I 0
11 is monotonic an since for x [a, b]. Obviously, v (a) > 0, v (b) < 0, we see that v(x) 0 b a v(x)f (x)x 0. (24) Thus integrating (24) by parts, one obtains b a f(x)v (x)x 0. (25) Now (23) follows by replacing the expression for v (x) in (25). (The case of a non-increasing function f can be treate analogously.)
12 Importance Sampling Algorithm Consier the problem of computing the integral I 0 = Ω f(x)x, x Ω IR. Let Ω 0 be the set of points x for which f(x) = 0 an Ω + = Ω Ω 0. Definition 1. Define the probability ensity function p(x) to be tolerant to f(x), if p(x) > 0 for x Ω + an p(x) 0 for x Ω 0. For an arbitrary tolerant probability ensity function p(x) for f(x) in Ω let us efine the ranom variable θ 0 in the following way: θ 0 (x) = { f(x) p(x), x Ω +, 0, x Ω 0.
13 It is interesting to consier the problem of fining a tolerant ensity, p(x), which minimizes the variance of θ 0. The existence of such a ensity means that the optimal Monte Carlo algorithm with minimal probability error exists. Theorem 3. (Kahn). The probability ensity function c f(x) minimizes Dθ 0 an the value of the minimum variance is Dˆθ 0 = [ Ω ] 2 f(x) x I0. 2 (26) Proof 3. Let us note that the constant in the expression for ˆp(x) is c = [ Ω f(x) x] 1, because the conition for normalization of probability ensity must be satisfie. At the same time f 2 (x) Dθ 0 = Ω + p(x) x I2 0 = Dˆθ 0. (27)
14 It is necessary only to prove that for other tolerant probability ensity functions p(x) the inequality Dθ 0 Dˆθ 0 hols. Inee [ Ω f(x) x] 2 = [ ] 2 [ = f x f p 1/2 p 1/2 x Ω + Ω + ] 2 Applying the Cauchy-Schwarz inequality to the last expression one gets [ 2 f(x) x] f 2 p 1 x p x Ω Ω + Ω + Ω+ f 2 p x. (28) Corollary 1. If f oes not change sign in Ω, then Dˆθ 0 = 0. Proof 4. The corollary is obvious an follows from the inequality (26). Inee, let us assume that the integran f(x) is non-negative. Then [ Ω f(x) x] = I 0 an accoring to (26) the variance Dˆθ 0 is zero. If f(x) is non-positive, i.e., f(x) 0, then again [ Ω f(x) x] = I 0 an Dˆθ 0.
15 For practical algorithms this assertion allows ranom variables with small variances (an consequently small probable errors) to be incurre, using a higher ranom point probability ensity in subomains of Ω, where the integran has a large absolute value. It is intuitively clear that the use of such an approach shoul increase the accuracy of the algorithm.
16 Weight Functions Approach Monte Carlo quaratures with weight functions are consiere for the computation of S(g; m) = g(θ)m(θ)θ, where g is some function (possibly vector or matrix value). The unnormalize posterior ensity m is expresse as the prouct of two functions w an f, where w is calle the weight function m(θ) = w(θ)f(θ). The weight function w is nonnegative an integrate to one; i.e., w(θ)θ = 1, an it is chosen to have similar properties to m. Most numerical integration algorithms then replace the function m(θ) by a iscrete approximation in the form of ˆm(θ) = { wi f(θ), θ = θ i, i = 1, 2,..., n, 0 elsewhere,
17 so that the integrals S(g; m) may by estimate by Ŝ(g; m) = N w i f(θ i )g(θ i ). (29) i=1 Integration algorithms use the weight function w as the kernel of the approximation of the integran S(g; m) = = g(θ)m(θ)θ = g(θ)w(θ)f(θ)θ (30) g(θ)f(θ)w (θ) = Ew(g(θ)f(θ)). (31) This suggests a Monte Carlo approach to numerical integration: generate noes θ 1,..., θ N inepenently from the istribution w an estimate S(g; m) by Ŝ(g; m) in (29) with w i = 1 N. If g(θ)f(θ) is a constant then Ŝ(g; m) will
18 be exact. More generally Ŝ(g; m) is unbiase an its variance will be small if w(θ) has a similar shape to g(θ)m(θ). The above proceure is also known as importance sampling. Such an approach is efficient if one eals with a set of integrals with ifferent weight functions. Determination of the weight function can be one iteratively using a posterior information.
19 Superconvergent Monte Carlo Algorithms As was shown earlier, the probability error usually has the form of (9): R N = cn 1/2. The spee of convergence can be increase if an algorithm with a probability error R N = cn 1/2 ψ() can be constructe, where c is a constant, ψ() > 0 an is the imension of the space. As will be shown later such algorithms exist. This class of Monte Carlo algorithms exploit the existing smoothness of the integran. Often the exploiting of smoothness is combine with subiviing the omain of integration into a number of non-overlapping sub-omains. Each sub-omain is calle stratum. This is the reason to call the techniques leaing to superconvergent Monte Carlo algorithms Stratifie sampling, or Latin hypercube sampling. Let us note that the Plain Monte Carlo, as well as algorithms base on variance reuction techniques, o not exploit any smoothness (regularity) of the integran. We will show how one can exploit the regularity to increase the convergence of the algorithm. Definition 2. Monte Carlo algorithms with a probability error R N = cn 1/2 ψ() (32)
20 (c is a constant, ψ() > 0) are calle Monte Carlo algorithms with a superconvergent probable error.
21 Error Analysis Let us consier the problem of computing the integral I = f(x)p(x)x, Ω where Ω IR, f L 2 (Ω; p) W 1 (α; Ω) an p is a probability ensity function, i.e. p(x) 0 an p(x)x = 1. The class W 1 (α; Ω) contains function f(x) Ω with continuous an boune erivatives ( f x α for every k = 1, 2,..., ). (k) Let Ω E be the unit cube Ω = E = {0 x (i) < 1; i = 1, 2,..., }. Let p(x) 1 an consier the partition of Ω into the subomains (stratums) Ω j, j = 1, 2,..., m, of N = m equal cubes with ege 1/m (eviently p j = 1/N
22 an j = /m) so that the following conitions hol: Ω = m j=1 Ω j, Ω i Ω j =, i j, an j = p j = where c 1 an c 2 are constants. Ω j p(x)x c 1 N, (33) sup x 1 x 2 c 2 x 1,x 2 Ω j N 1/, (34) m Then I = I j, where I j = f(x)p(x)x an obviously I j is the mean of j=1 Ω j the ranom variable p j f(ξ j ), where ξ j is a ranom point in Ω j with probability ensity function p(x)/p j. So it is possible to estimate I j by the average of N j
23 observations an I by θ N = m θ nj. j=1 θ N = p j N j N j s=1 f(ξ j ), m N j = N, j=1 Theorem 4. Let N j = 1 for j = 1,..., m (so that m = N). The function f has continuous an boune erivatives ( f x α for every k = 1, 2,..., ) (k) an let there exist constants c 1, c 2 such that conitions (33) an (34) hol. Then for the variance of θ the following relation is fulfille Dθ N = (c 1 c 2 α) 2 N 1 2/N. Using the Tchebychev s inequality it is possible to obtain R N = 2c 1 c 2 αn 1/2 1/. (35)
24 The Monte Carlo algorithm constructe above has a superconvergent probability error. Comparing (35) with (32) one can conclue that ψ() = 1. We can try to relax a little bit the conitions of the last theorem because they are too strong. So, the following problem may be consiere: Is it possible to obtain the same result for the convergence of the algorithm but for functions that are only continuous? Let us consier the problem in IR. Let [a, b] be partitione into n subintervals [x j 1, x j ] an let j = x j x j 1. Then if ξ is a ranom point in [x j 1, x j ] with probability ensity function p(x)/p j, where p j = error of the estimator θn is given by the following: xj x j 1 p(x)x, the probable Theorem 5. Let f be continuous in [a, b] an let there exist positive constant c 1, c 2, c 3
25 satisfying p j c 1 /N, c 3 j c 2 /N for j = 1, 2,..., N. Then where = max j r N 4 2 c 1c 2 c 3 τ (f; 32 ) L 2 N 3/2, j an τ(f; δ) L2 is the average moulus of smoothness, i.e. τ(f; δ) L2 = ω(f, ; δ) L2 = ( 1/q b (ω(f, x; δ)) x) q, 1 q, a δ [0, (b a)] an ω(f, x; δ) = sup{ h f(t) : t, t + h [x δ/2, x + δ/2] [a, b]}. where h is the restriction operator. In IR the following theorem hols:
26 Theorem 6. (Dimov, Tonev) Let f be continuous in Ω IR an let there exist positive constants c 1, c 2, c 3 such that p j c 1 /N, j c 2 N 1/ an S j (, c 3 ) Ω j, j = 1, 2,..., N, where S j (, c 3 ) is a sphere with raius c 3. Then r N 4 2 c 1c 2 c 3 τ(f; ) L2 N 1/2 1/. Let us note that the best quarature formula with fixe noes in IR in the sense of Nikolskiy for the class of functions W (1) (l; [a, b]) is the rectangular rule with equiistant noes, for which the error is approximately equal to c/n. For the Monte Carlo algorithm given by Theorem 6 when N j = 1 the rate of convergence is improve by an orer of 1/2. This is an essential improvement. At the same time, the estimate given in Theorem 5 for the rate of convergence attains the lower boun estimate obtaine by Bakhvalov for the error of an arbitrary ranom quarature formula for the class of continuous functions in an interval [a, b]. Some further evelopments in this irection will be presente in Chapter.
27 II. Optimal Monte Carlo Metho for Multiimensional Integrals of Smooth Functions An optimal Monte Carlo metho for numerical integration of multiimensional integrals is propose an stuie. It is know that the best possible orer of the mean square error of a Monte Carlo integration metho ( over ) the class of the k times ifferentiable functions of variables is O N 1 2 k. We present two algorithms implementing the metho uner consieration. Estimates for the computational complexity are obtaine. showing the efficiency of the algorithms are also given. Numerical tests Here a Monte Carlo metho for calculating multiimensional integrals of smooth functions is consiere. Let an k be integers, an, k 1. We consier the class W k ( f ; E ) (sometimes abbreviate to W k ) of real functions f efine over the unit cube E = [0, 1), possessing all the partial erivatives r f(x) x α , α xα α = r k,
28 which are continuous when r < k an boune in sup norm when r = k. The semi-norm on W k is efine as { r } f(x) f = sup x α xα α α = k, x (x 1,..., x ) E. There are two classes of methos for numerical integration of such functions over E eterministic an stochastic or Monte Carlo methos. We consier the following quarature formula I(f) = N c i f(x (i) ), (36) i=1 ( ) where x (i) x (i) 1,..., x(i) E, i = 1,..., N, are the noes an c i, i = 1,..., N are the weights. If x (i) an c i are real values, the formula (36) efines a eterministic quarature formula. If x (i), i = 1,..., N, are ranom points
29 efine in E an c i are ranom variables efine in IR then (36) efines a Monte Carlo quarature formula. The following results of Bahvalov establish lower bouns for the integration error in both cases: Theorem 7. (Bakhvalov) There exists a constant c(, k) such that for every quarature formula I(f) that is fully eterministic an uses the function values at N points there exists a function f W k such that f(x)x I(f) c(, k) f N k. E Theorem 8. (Bakhvalov) There exists a constant c(, k) such that for every quarature formula I(f) that involves ranom variables an uses the function values at N points there exists a function f W k such that { [ ] } 2 1/2 E f(x)x I(f) c(, k) f N 1 E 2 k.
30 When is sufficiently large it is evient that methos involving the use of ranom variables will outperform the eterministic methos. ( ) Monte Carlo methos, that achieve the orer O N 1 2 k are calle optimal. In fact methos of this kin are superconvergent following Definition 2 given before, hey have a unimprovable rate of convergence. It is not an easy task to construct a unifie metho with such rate of convergence for any imension an any value ( of k. Various ) methos for Monte Carlo integration that achieve the orer O N 1 2 k are known. While in the case of k = 1 an k = 2 these methos are fairly simple an are wiely use, when k 3 such methos become much more sophisticate. The first optimal stochastic metho was propose by Mrs. Dupach for k = 1. This metho uses the iea of separation of the omain of integration into uniformly small (accoring both to the probability an to the sizes) isjoint subomains an generating one or small number of points in each subomain. This iea was largely use for creation Monte Carlo methos with high rate of convergence. There exist also the so-calle aaptive Monte Carlo methos propose by Lautrup, which use a priori an/or a posteriori information obtaine uring
31 calculations. The main iea of this approach is to aapt the Monte Carlo quarature formula to the element of integration. The iea of separation of the omain into uniformly small subomains is combine with the iea of aaptivity to obtain an optimal Monte Carlo quarature for the case k = 1. We also combine both ieas - separation an aaptivity an present an optimal Monte Carlo quarature for any k. We separate the omain of integration into isjoint subomains. Since we consier the cube E we ivie it into N = n isjoint ( cubes K j ), j = 1,..., N. In each cube K j we calculate the + k 1 coorinates of points y (r). We select m uniformly istribute an mutually inepenent ranom points from each cube K j an consier the Lagrange interpolation polynomial of the function f at the point z, which uses the information from the function values at the points y (r). After that we approximate the integral in the cube K j using the values of the function an the Lagrange polynomial at the m selecte ranom points. Then we sum these estimates over all cubes K j, j = 1,..., N. The aaptivity is use when we consier the Lagrange interpolation polynomial. The estimates for the probable error an for the mean square error are proven. It is shown that the presente
32 metho has the best possible rate of convergence, i.e. it is an optimal metho. Two algorithms for Monte Carlo integration that achieve such orer of the integration error, along with estimates of their computational complexity. It is known that the computational complexity is efine as number of operations neee to perform the algorithm on the sequential (von Neumann) moel of computer architecture. It is important to be able to compare ifferent Monte Carlo algorithms for solving the same problem with the same accuracy (with the same probable or mean square error). We have shown that the computational complexity coul be estimate as a prouct of tσ 2 (θ), where t is the time (number of operations) neee to calculate one value of the ranom variable θ, whose mathematical expectation is equal to the exact value of the integral uner consieration an σ 2 (θ) is the variance. Here we o not use this presentation an, instea, estimate the computational complexity irectly as number of floating point operations (flops) use to calculate the approximate value of the integral. One can also use some other estimators of the quality of the algorithm (if parallel machines are available), such as speeup an parallel efficiency. It
33 is easy to see that the spee-up of our algorithms is linear an the parallel efficiency is close to 1 ue to the relatively small communication costs. The numerical tests performe on 2-processor an 4-processor machines confirm this.
34 Description of the Metho an Theoretical Estimates Definition 3. Given a Monte Carlo integration formula for the functions in the space W k by err(f, I) we enote the integration error E f(x)x I(f), by ε(f) the probable error meaning that ε(f) is the least possible real number with P ( err(f, I) < ε(f)) 1 2 an by r(f) the mean square error r(f) = { E [ ] } 2 1/2 f(x)x I(f). E For each integer n,, k 1 we efine a Monte Carlo integration formula,
35 epening on an integer parameter m 1 an ( ) +k 1 points in E in the following way: The ( ) +k 1 points x (r) have to fulfill the conition that if for some polynomial P (x) of combine egree less than k P ( x (r)) = 0, then P 0. Let N = n, n 1. We ivie the unit cube E into n isjoint cubes n E = K j, where K j = [a j i, bj i ), j=1 with b j i aj i = 1 n for all i = 1,...,. Now in each cube K j we calculate the coorinates of ( ) +k 1 points y (r), efine by i=1 y (r) i = a r i + 1 n x(r) i.
36 Suppose, we select m ranom points ξ(j, s) = (ξ 1 (j, s),..., ξ (j, s)) from each cube K j, such that all ξ i (j, s) are uniformly istribute an mutually inepenent, calculate all f(y (r) ) an f(ξ(j, s)) an consier the Lagrange interpolation polynomial of the function f at the point z, which uses the information from the function values at the points y (r). We call it L k (f, z). For all polynomials P of egree at most k 1 we have L k (p, z) z. We approximate K j f(x)x 1 mn m [f(ξ(j, s)) L k (f, ξ(j, s))] + s=1 K j L k (f, x)x. Then we sum these estimates over all j = 1,..., N to achieve I(f) 1 mn N j=1 m [f(ξ(j, s)) L k (f, ξ(j, s))] + s=1 N j=1 K j L k (f, x)x.
37 We prove the following Theorem 9. The quarature formula constructe above satisfies ε(f, k,, m) c 1,k m f N 1 2 k an r(f, k,, m) c 1,k m f N 1 2 k, where the constants c,k an c,k epen implicitly on the points x(r), but not on N. Proof 5. One can see that E { 1 mn m [f(ξ(j, s)) L k (f, ξ(j, s))] + s=1 K j L k (f, x)x } = K j f(x)x
38 an { 1 m D mn [f(ξ(j, s)) L k (f, ξ(j, s))] + s=1 = 1 { } 1 m D n [f(ξ(j, 1)) L k(f, ξ(j, 1))]. K j L k (f, x)x } Note that K j L k (f, x)x = 1 n 0 i i k 1 A(r)f(y (r) ), where the coefficients A(r) are the same for all cubes K j an epen only on { x (r) }. Using Taylor series expansion of f over the center of the cube K j, one can see that f(ξ(s, t) L k (f, ξ(j, s) c,k n k f, an therefore { } 1 D n [f(ξ(j, s)) L k(f, ξ(j, s))] c,kn 2 n 2k f 2.
39 Taking into account that the ξ(j, s) are inepenent, we obtain that D n j=1 1 mn m [f(ξ(j, s)) L k (f, ξ(j, s))] + L k (f, x)x K j t=1 n 1 m 2mc,kn 2k n 2 f 2 = 1 m c,kn n 2k f 2 an therefore (N = n ) r(f, k,, m) 1 m c(, k)n 1 2 k f. The application of the Tchebychev s inequality yiels ε(f, k,, m) 1 m c,k f N 1 2 k for the probable error ε, where c (, k) = 2c(, k), which conclues the proof.
40 One can replace the Lagrange approximation polynomial with other approximation schemes that use the function values at some fixe points, provie they are exact for all polynomials of egree less than k. For Quasi- Monte Carlo integration of smooth functions an approach with Tchebychev polynomial approximation is evelope. We (Dimov, Atanasov) show that the propose technique allows one to formulate optimal algorithms in the Höler class of functions H k λ (α, E ), (0 < λ 1). The class H k λ (α, E ), (0 < λ 1) is efine as functions from C k, which erivatives of orer k satisfy Höler conition with a parameter λ: H k λ(α, E ) { f C k : D k f(y 1,..., y ) D k f(z 1,..., z ) α y j z j λ. (37) j=1 For the class H k λ (α, E ) we prove the following theorem:
41 Theorem 10. The cubature formula constructe above satisfies r N (f, k + λ,, m) c (, k + λ) 1 m αn 1 2 k+λ an ( E ( ) ) 2 1/2 f(x)x I(f) c (, k + λ) 1 1 αn E m 2 k+λ, where the constants c (, k +λ) an c (, k +λ) epen implicitly on the points x (r), but not on N. The above theorem shows that the convergence of the metho can be improve by aing a parameter λ to the factor of smoothness k if the integran belongs to the Höler class of functions H k λ (α, E ), (0 < λ 1).
42 Estimates of the Computational Complexity Two algorithms implementing our metho are given. computational complexity of both algorithms are presente. Estimates of the *Algorithm 1 (A.1) In the fist algorithm the points x (r) are selecte so that they fulfill certain conitions that woul assure goo Lagrange approximation of any function from W k. Let us orer all the monomials of variables an egree less than k µ 1,..., µ t. Note that there are exactly ( ) +k 1 of them. We use a pseuo-ranom number generator to obtain many sets of points x (r), then we select the one for which the norm of the inverse of the matrix A = (a ij ) with is the smallest one. a ij = µ i (x (j) ) Once it is selecte for fixe k an, the same set of points will be use for integrating every functions from the space W k. We o not nee to store the
43 co-orinates of the points x (j), if we can recor the state of the generator just before it prouces the best set of x (j). Since the calculations of the elements of the matrix A an its inverse, as well as the coefficients of the interpolation type quarature formula are mae only once if we know the state of the pseuo-ranom number generator that will prouce the set of points x (j), they count as O(1) in our estimates for the number of flops use to calculate the integral of a certain function from W k. These calculations coul be consiere as preprocessing. We prove the following Theorem 11. The computational complexity of the numerical integration of a function from W k using Algorithm A.1 is estimate by: [ ( )] + k 1 N fp N m + a f + mn [ (b r + 2) + 1] + (38) ( ) [ ( ) ] + k 1 + k 1 N 2m c(, k)
44 where b r enotes the number of flops use to prouce a uniformly istribute ranom number in [0, 1), a f stans for the number of flops neee for each calculation of a function value, an c(, k) epens only on an k. Proof 6. As it was pointe out above, the calculation of the coorinates of the points x (r), the elements of A an A 1, an the coefficients of the interpolation type quarature formula can be consiere to be one with c 1 (, k) flops, if we know the initial state of the pseuo-ranom number generator that prouces the set of points x (r). Then in ( ) + k 1 2N operations we calculate the coorinates of the points y (r) in each cube an in mn(b r + 2) flops we obtain the uniformly istribute ranom points we shall use. The
45 calculation of the values of f at all these points takes flops. N [ m + ( )] + k 1 Next we apply the interpolation type quarature formula with the previously calculate coefficients (reorering the terms) using ( ) + k 1 (N + 1) operations. About the contribution of the Lagrange interpolation polynomials note that a f S = N m L k (f, ξ(j, s)) = N m ( +k 1 ) f (+k 1 ( ) y (i)) t ir µ r (ξ(j, s)), j=1 s=1 j=1 s=1 i=1 r=1
46 where µ r are all the monomials of egree less than k. Reorering the terms we obtain S = N ( +k 1 ) f (+k 1 ( ) y (i)) t ir m µ r (ξ(j, s)). j=1 i=1 r=1 s=1 Using the fact the the value of each monomial can be obtaine using only one multiplication, once we know all the values of the monomials of lesser egree at the same point, we see that S can be calculate with less than ( ) + k 1 (2m 1)N + ( ( ) + k 1 2 ) ( + k ) N flops. The summing of all function values at the ranom points ξ (s, k) takes
47 mn 1 flops. Now we sum all these estimates to obtain ( ) + k 1 N fp 2N + mn (b r + 2) [ ( )] ( ) + k 1 + k 1 + N m + a f + (2m + 1) N ( ) 2 ( ) + k 1 + k 1 + 2N + (N + 1) + mn + c 1 (, k) [ ( )] + k 1 = N m + a f + mn ( (b r + 2) + 1) ( ) [ ( ) ] + k 1 + k 1 + N 2m c(, k). The theorem is proven. *Algorithm 2 (A.2)
48 The secon algorithm is a variation of the first one, when first some k ifferent points z (j) i (0, 1) are selecte in each imension, an then the points x (r) have coorinates { } (z (j 1) 1,..., z (j ) ) : (j j < k). In this case the interpolation polynomial is calculate in the form of Newton, namely if w r (t) = a j r + (b j r a j r)z r (t), then L k (f, ξ) =... j j <k R(j 1,..., j, 0,..., 0) ( ) ξ i (j, s) w (j i 1) i, ( ) ξ i (j, s) w (1) i... i=1 where R(j 1,..., j, l 1,..., l ) = f(w j 1 1,..., wj ) if all j i = l i,
49 an R(j 1,..., j i,..., j, l 1,..., l i,..., l ) 1 = (w j i i w l i i )[R(j 1,..., j i,..., j, l 1,..., l i + 1,..., l ) R(j 1,..., j i 1,..., j, l 1,..., l i,..., l )] if j i > l i. In this moification we have the following Theorem 12. The computational complexity of the numerical integration of a function from W k using Algorithm A.2 is estimate by: [ ( )] + k 1 N fp N m + a f + Nm [(b r k) + 1] ( ) + k 1 + N ( m + 1) + c (, k),
50 where a f an b m are as above. Proof 7. One can see that for the calculation of the ivie ifferences in imensions require for the Lagrange - Newton approximation we nee to apply (39) exactly ( ) + k 1 N + 1 times, which is less than For the calculation of the sum ( ) + k 1 Nk. S = N j=1 i=1 m L k (f, ξ (j, s)) = s=1 N j=1 m s=1 j j <k ( ) ( ) ξ i (j, s) w (1) i... ξ i (j, s) w (j i 1) i R(j 1,..., j, 0,..., 0)
51 we make use of the fact that each term ( ) ( ) ξ i (j, s) w (1) i... ξ i (j, s) w (j i 1) i i=1 can be obtaine from a previously compute one through one multiplication, provie we have compute all the k ifferences ξ i (j, s) w (r) i. Thus, we are able to compute the sum S with less than ( ) + k 1 (2m + 1) N + kmn flops.
52 The other estimates are one in the same way as in Theorem 11 to obtain ( ) [ ( )] + k 1 + k 1 N fp 2N + mn(b r + 2) + N m + ( ) ( ) + k 1 + k 1 + (N + 1) + (2m + 1) N + kmn ( ) + k 1 + 2Nk + mn + c 1 (, k) [ ( )] + k 1 = N m + a f + Nm ((b r k) + 1) ( ) + k 1 + N ( m + 1) + c (, k), which proves the theorem. a f
53 Numerical Tests Numerical tests, showing the computational efficiency of the algorithms uner consieration are given. Here we present results for the following integrals: I 1 = I 2 = I 3 = I 4 = e (x1+2x2) cos(x 3 ) x 1 x 2 x 3 x 4 ; E x 2 + x 3 + x 4 x 1 x 2 2e x 1x 2 sin x 3 cos x 4 x 1 x 2 x 3 x 4 ; E 4 e x 1 sin x 2 cos x 3 log(1 + x 4 ) x 1 x 2 x 3 x 4 ; E 4 e x 1+x 2 +x 3 +x 4 x 1 x 2 x 3 x 4 ; E 4
54 In the Tables 1 to 4 the results of some numerical experiments in the case when k = = 4 are presente. They are performe on ORIGIN-2000 machine using only one CPU. n Algorithm Error err rel n 6 CPU time, s. 10 A A A A A A A A A A Table 1: Results of MC numerical integration performe on ORIGIN-2000 for I 1 (Exact value )
55 n Algorithm Error err rel n 6 CPU time, s. 10 A A A A A A A A A A Table 2: Results of MC numerical integration performe on ORIGIN-2000 for I 2 (Exact value )
56 n Algorithm Error err rel n 6 CPU time, s. 10 A A A A A A A A A A Table 3: Results of MC numerical integration performe on ORIGIN-2000 for I 3 (Exact value ).
57 n Algorithm Error err rel n 6 CPU time, s. 10 A A A A A A A A A A Table 4: Results of MC numerical integration performe on ORIGIN-2000 for I 4 (Exact value ).
58 1e-05 1e-06 Results from the calculation of Integral 1 Algorithm A.1 Algorithm A.2 Simpson s rule 1e-07 relative error 1e-08 1e-09 1e-10 1e e+06 1e+07 1e+08 number of function values taken Figure 1: Errors for the integral I 1.
59 1e-05 Results from the calculation of Integral 2 Algorithm A.1 Algorithm A.2 Simpson s rule 1e-06 relative error 1e-07 1e-08 1e-09 1e e+06 1e+07 1e+08 number of function values taken Figure 2: Errors for the integral I 2.
60 80 70 Computational time for the calculation of Integral 2 on ORIGIN-2000 Algorithm A.1 Algorithm A.2 60 CPU time, secons n Figure 3: Computational time for I 2.
61 1e-06 Effect of the parameter m on CPU time an relative error - Integral 2 Algorithm A.2 m=1 Algorithm A.2 m=16 1e-07 relative error 1e-08 1e-09 1e CPU time, secons Figure 4: CPU-time an relative error for I 2 (A.2). Some results are presente on Figures 1 4. The epenencies of the error on the number of points where the function values are taken when both algorithms
62 are applie to the integral I 1 are presente on Figure 1. The same epenencies for the integral I 2 are presente on Figure 2. The results from the application of the iterate Simpson s metho are provie for comparison. The Figure 3 shows how increases the computational time for the calculation of integral I 2 when n = N 1/ increases. On Figure 4 we compare the CPU time an relative error of the calculation of integral I 2 using algorithm A.2 with two ifferent values of the parameter m - 1 an 16. One can see that setting m = 16 yiels roughly twice better results for the same amount of CPU time.
63 Concluing Remarks A Monte Carlo metho for calculating multiimensional integrals of smooth functions is presente an stuie. It is proven that the metho has the highest possible rate of convergence, i.e. it is an optimal superconvergent metho. Two algorithms implementing the metho are escribe. Estimates for the computational complexity of both algorithms (A.1 an A.2) are presente. The numerical examples show that both algorithms give comparable results for the same number of points where the function values are taken. In all our examples Algorithm A.2 is quicker. It offers more possibilities for use in high imensions an for functions with high orer smoothness. We emonstrate how one can achieve better results for the same computational time using carefully chosen m > 1.
64 Both algorithms are easy to implement on parallel machines, because the calculations performe for each cube are inepenent from that for any other. The fine granularity of the tasks an the low communication costs allow for efficient parallelization. It is important to know how expensive are the most important parts of the algorithms. Our measurements in the case of integral I 2 yiel the following results : Algorithm A.1: 2% to obtain the uniformly istribute ranom points; 73% to calculate all the values of f at all points; 1% to apply the interpolation type quarature formula; 18% to calculate the Lagrange interpolation polynomial at the ranom points. 6% other tasks Algorithm A.2: 2% to obtain the uniformly istribute ranom points; 86% to calculate the values of f at all points;
65 1% to apply the interpolation type quarature formula; 5% to calculate the Lagrange-Newton approximation for the function f at all ranom points; 6% other tasks.
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