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

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.

preprint2015arXivOpen access
Michael KazhdanGurprit SinghAdrien PilleboueDavid CoeurjollyVictor Ostromoukhov
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Open access5 authors1 topic
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Michael KazhdanGurprit SinghAdrien PilleboueDavid CoeurjollyVictor Ostromoukhov

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