Unreasonable effectiveness of Monte Carlo

01/18/2019

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by   Art B. Owen, et al.

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This is a comment on the article "Probabilistic Integration: A Role in Statistical Computation?" by F.-X. Briol, C. J. Oates, M. Girolami, M. A. Osborne and D. Sejdinovic to appear in Statistical Science. There is a role for statistical computation in numerical integration. However, the competition from incumbent methods looks to be stiffer for this problem than for some of the newer problems being handled by probabilistic numerics. One of the challenges is the unreasonable effectiveness of the central limit theorem. Another is the unreasonable effectiveness of pseudorandom number generators. A third is the common O(n^3) cost of methods based on Gaussian processes. Despite these advantages, the classical methods are weak in places where probabilistic methods could bring an improvement.