Information-Theoretic Bounds for Integral Estimation

Abstract

In this paper, we consider a zero-order stochastic oracle model of estimating definite integrals. In this model, integral estimation methods may query an oracle function for a fixed number of noisy values of the integrand function and use these values to produce an estimate of the integral. We first show that the informationtheoretic error lower bound for estimating the integral of a d-dimensional function over a region with l ∞ radius r using at most T queries to the oracle function is Ω 2 d r d+1 d/T . Additionally, we find that the Gaussian Quadrature method under the same model achieves a rate of O 2 d r d / √ T for functions with zero fourth and higher-order derivatives with respect to individual dimensions, and for Gaussian oracles, this rate is tight. For functions with nonzero fourth derivatives, the Gaussian Quadrature method achieves an upper bound which is not tight with the information-theoretic lower bound. Therefore, it is not minimax optimal, so there is space for the development of better integral estimation methods for such functions.