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arXiv · 1506.00021

Variance Analysis for Monte Carlo Integration: A Representation-Theoretic Perspective

Michael Kazhdan·Gurprit Singh·Adrien Pilleboue·David Coeurjolly·Victor Ostromoukhov
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Abstract

In this report, we revisit the work of Pilleboue et al. [2015], providing a representation-theoretic derivation of the closed-form expression for the expected value and variance in homogeneous Monte Carlo integration. We show that the results obtained for the variance estimation of Monte Carlo integration on the torus, the sphere, and Euclidean space can be formulated as specific instances of a more general theory. We review the related representation theory and show how it can be used to derive a closed-form solution.

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Michael Kazhdan, Gurprit Singh, Adrien Pilleboue, David Coeurjolly, Victor Ostromoukhov. 2015-05-29. Variance Analysis for Monte Carlo Integration: A Representation-Theoretic Perspective. https://arxiv.org/abs/1506.00021

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