Periodic version of the minimax distance criterion for Monte Carlo integration
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Date
2020-11-01
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Referee
Mark
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Publisher
Elsevier
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Abstract
The selection of points for numerical integration of the Monte Carlo type, largely used in analysis of engineering problems, is developed. It is achieved by modification of the metric in the minimax optimality criterion. The standard minimax criterion ensures the design exhibits good space-filling property and therefore reduces the variance of the estimator of the integral. We, however, show that the points are not selected with the same probability over the space of sampling probabilities: some regions are over- or under-sampled when designs are generated repetitively. This violation of statistical uniformity may lead to systematically biased integral estimators. We propose that periodic metric be considered for calculation of the minimax distance. Such periodic minimax criterion provides statistically uniform designs leading to unbiased integration results and also low estimator variance due to retained space-filling property. These conclusions are demonstrated by examples integrating analytical functions. The designs are constructed by two different algorithms: (i) a new time-stepping algorithm resembling a damped system of attracted particles developed here, and (ii) the heuristic swapping of coordinates. The designs constructed by the time-stepping algorithm are attached to the paper as a supplementary material. The computer code for construction of the designs is attached too.
Description
Citation
ADVANCES IN ENGINEERING SOFTWARE. 2020, vol. 149, issue 1, p. 1-13.
https://www.sciencedirect.com/science/article/pii/S0965997820300508
https://www.sciencedirect.com/science/article/pii/S0965997820300508
Document type
Peer-reviewed
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Accepted version
Date of access to the full text
2022-11-01
Language of document
en
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Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International
http://creativecommons.org/licenses/by-nc-nd/4.0/
http://creativecommons.org/licenses/by-nc-nd/4.0/