Optimal confidence for Monte Carlo integration of smooth functions

Abstract

We study the complexity of approximating integrals of smooth functions at absolute precision $\varepsilon > 0$ with confidence level $1 - δ\in (0,1)$. The optimal error rate for multivariate functions from classical isotropic Sobolev spaces $W_p^r(G)$ with sufficient smoothness on bounded Lipschitz domains $G \subset \mathbb{R}^d$ is determined. It turns out that the integrability index $p$ has an effect on the influence of the uncertainty $δ$ in the complexity. In the limiting case $p = 1$ we see that deterministic methods cannot be improved by randomization. In general, higher smoothness reduces the additional effort for diminishing the uncertainty. Finally, we add a discussion about this problem for function spaces with mixed smoothness.