Coin Tossing Algorithms for Integral Equations and Tractability
Erich Novak, Harald Pfeiffer
Integral equations with Lipschitz kernels and right-hand sides are intractable for deterministic methods, the complexity increases exponentially in the dimension d . This is true even if we only want to compute a single function value of the solution. For this latter problem we study coin tossing algorithms (or restricted Monte Carlo methods), where only random bits are allowed. We construct a restricted Monte Carlo method with error ε that uses roughly ε −2 function values and only d log 2 ε random bits. The number of arithmetic operations is of the order ε −2 + d log 2 ε. Hence, the cost of our algorithm increases only mildly with the dimension d , we obtain the upper bound C · (ε −2 + d log 2 ε) for the complexity. In particular, the problem is tractable for coin tossing algorithms.
Monte Carlo Methods and Applications•Jan 1, 2004•6 citations