Mathematics – Numerical Analysis
Scientific paper
2006-11-09
Mathematics
Numerical Analysis
Journal of Complexity, to appear
Scientific paper
We study the integration of functions with respect to an unknown density. We compare the simple Monte Carlo method (which is almost optimal for a certain large class of inputs) and compare it with the Metropolis algorithm (based on a suitable ball walk). Using MCMC we prove (for certain classes of inputs) that adaptive methods are much better than nonadaptive ones. Actually, the curse of dimension (for nonadaptive methods) can be broken by adaption.
Mathe Peter
Novak Erich
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