31
17
v1v2v3 (latest)

Super-polynomial accuracy of one dimensional randomized nets using the median-of-means

Abstract

Let ff be analytic on [0,1][0,1] with f(k)(1/2)Aαkk!|f^{(k)}(1/2)|\leq A\alpha^kk! for some constant AA and α<2\alpha<2. We show that the median estimate of μ=01f(x)dx\mu=\int_0^1f(x)\,\mathrm{d}x under random linear scrambling with n=2mn=2^m points converges at the rate O(nclog(n))O(n^{-c\log(n)}) for any c<3log(2)/π20.21c< 3\log(2)/\pi^2\approx 0.21. We also get a super-polynomial convergence rate for the sample median of 2k12k-1 random linearly scrambled estimates, when k=Ω(m)k=\Omega(m). When ff has a pp'th derivative that satisfies a λ\lambda-H\"older condition then the median-of-means has error O(n(p+λ)+ϵ)O( n^{-(p+\lambda)+\epsilon}) for any ϵ>0\epsilon>0, if kk\to\infty as mm\to\infty.

View on arXiv
Comments on this paper