Monte Carlo with Determinantal Point Processes
Type de document :
Compte-rendu et recension critique d'ouvrage
Titre :
Monte Carlo with Determinantal Point Processes
Auteur(s) :
Bardenet, Remi [Auteur]
Centre de Recherche en Informatique, Signal et Automatique de Lille - UMR 9189 [CRIStAL]
Centre National de la Recherche Scientifique [CNRS]
Hardy, Adrien [Auteur]
Laboratoire Paul Painlevé - UMR 8524 [LPP]
Centre de Recherche en Informatique, Signal et Automatique de Lille - UMR 9189 [CRIStAL]
Centre National de la Recherche Scientifique [CNRS]
Hardy, Adrien [Auteur]
Laboratoire Paul Painlevé - UMR 8524 [LPP]
Titre de la revue :
The Annals of Applied Probability
Éditeur :
Institute of Mathematical Statistics (IMS)
Date de publication :
2020
ISSN :
1050-5164
Discipline(s) HAL :
Mathématiques [math]/Probabilités [math.PR]
Mathématiques [math]/Analyse classique [math.CA]
Statistiques [stat]/Méthodologie [stat.ME]
Statistiques [stat]/Calcul [stat.CO]
Mathématiques [math]/Analyse classique [math.CA]
Statistiques [stat]/Méthodologie [stat.ME]
Statistiques [stat]/Calcul [stat.CO]
Résumé en anglais : [en]
We show that repulsive random variables can yield Monte Carlo methods with faster convergence rates than the typical N^{−1/2} , where N is the number of integrand evaluations. More precisely, we propose stochastic numerical ...
Lire la suite >We show that repulsive random variables can yield Monte Carlo methods with faster convergence rates than the typical N^{−1/2} , where N is the number of integrand evaluations. More precisely, we propose stochastic numerical quadratures involving determinantal point processes associated with multivariate orthogonal polynomials, and we obtain root mean square errors that decrease as N^{−(1+1/d)/2} , where d is the dimension of the ambient space. First, we prove a central limit theorem (CLT) for the linear statistics of a class of determinantal point processes, when the reference measure is a product measure supported on a hypercube, which satisfies the Nevai-class regularity condition; a result which may be of independent interest. Next, we introduce a Monte Carlo method based on these determinantal point processes, and prove a CLT with explicit limiting variance for the quadrature error, when the reference measure satisfies a stronger regularity condition. As a corollary, by taking a specific reference measure and using a construction similar to importance sampling, we obtain a general Monte Carlo method, which applies to any measure with continuously derivable density. Loosely speaking, our method can be interpreted as a stochastic counterpart to Gaussian quadrature, which, at the price of some convergence rate, is easily generalizable to any dimension and has a more explicit error term.Lire moins >
Lire la suite >We show that repulsive random variables can yield Monte Carlo methods with faster convergence rates than the typical N^{−1/2} , where N is the number of integrand evaluations. More precisely, we propose stochastic numerical quadratures involving determinantal point processes associated with multivariate orthogonal polynomials, and we obtain root mean square errors that decrease as N^{−(1+1/d)/2} , where d is the dimension of the ambient space. First, we prove a central limit theorem (CLT) for the linear statistics of a class of determinantal point processes, when the reference measure is a product measure supported on a hypercube, which satisfies the Nevai-class regularity condition; a result which may be of independent interest. Next, we introduce a Monte Carlo method based on these determinantal point processes, and prove a CLT with explicit limiting variance for the quadrature error, when the reference measure satisfies a stronger regularity condition. As a corollary, by taking a specific reference measure and using a construction similar to importance sampling, we obtain a general Monte Carlo method, which applies to any measure with continuously derivable density. Loosely speaking, our method can be interpreted as a stochastic counterpart to Gaussian quadrature, which, at the price of some convergence rate, is easily generalizable to any dimension and has a more explicit error term.Lire moins >
Langue :
Anglais
Vulgarisation :
Non
Collections :
Source :
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- http://arxiv.org/pdf/1605.00361
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