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Optimally Adaptive Integration of Univariate Lipschitz Functions

Ilya BaranContact Information, Erik D. DemaineContact Information and Dmitriy A. KatzContact Information

(1)  MIT Computer Science and Artificial Intelligence Laboratory, 32 Vassar Street, Cambridge, MA 02139, USA
(2)  Sloan School of Management, Massachusetts Institute of Technology, 50 Memorial Drive, Cambridge, MA 02142, USA
Abstract
We consider the problem of approximately integrating a Lipschitz function f (with a known Lipschitz constant) over an interval. The goal is to achieve an error of at most ε using as few samples of f as possible. We use the adaptive framework: on all problem instances an adaptive algorithm should perform almost as well as the best possible algorithm tuned for the particular problem instance. We distinguish between MediaObjects/InlineFigure1.png and MediaObjects/InlineFigure2.png, the performances of the best possible deterministic and randomized algorithms, respectively. We give a deterministic algorithm that uses MediaObjects/InlineFigure3.png samples and show that an asymptotically better algorithm is impossible. However, any deterministic algorithm requires MediaObjects/InlineFigure4.png samples on some problem instance. By combining a deterministic adaptive algorithm and Monte Carlo sampling with variance reduction, we give an algorithm that uses at most MediaObjects/InlineFigure5.png samples. We also show that any algorithm requires MediaObjects/InlineFigure6.png samples in expectation on some problem instance (f,ε), which proves that our algorithm is optimal.

Contact Information Ilya Baran
Email: ibaran@mit.edu

Contact Information Erik D. Demaine
Email: edemaine@mit.edu

Contact Information Dmitriy A. Katz
Email: dimdim@mit.edu
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