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Fourier Analysis of Correlated Monte Carlo Importance Sampling
Author(s) -
Singh Gurprit,
Subr Kartic,
Coeurjolly David,
Ostromoukhov Victor,
Jarosz Wojciech
Publication year - 2020
Publication title -
computer graphics forum
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.578
H-Index - 120
eISSN - 1467-8659
pISSN - 0167-7055
DOI - 10.1111/cgf.13613
Subject(s) - estimator , monte carlo method , smoothing , classification of discontinuities , computer science , sampling (signal processing) , rate of convergence , control variates , convergence (economics) , mathematical optimization , monte carlo integration , algorithm , mathematics , markov chain monte carlo , statistics , hybrid monte carlo , mathematical analysis , computer network , channel (broadcasting) , filter (signal processing) , economics , computer vision , economic growth
Fourier analysis is gaining popularity in image synthesis as a tool for the analysis of error in Monte Carlo (MC) integration. Still, existing tools are only able to analyse convergence under simplifying assumptions (such as randomized shifts) which are not applied in practice during rendering. We reformulate the expressions for bias and variance of sampling‐based integrators to unify non‐uniform sample distributions [importance sampling (IS)] as well as correlations between samples while respecting finite sampling domains. Our unified formulation hints at fundamental limitations of Fourier‐based tools in performing variance analysis for MC integration. At the same time, it reveals that, when combined with correlated sampling, IS can impact convergence rate by introducing or inhibiting discontinuities in the integrand. We demonstrate that the convergence of multiple importance sampling (MIS) is determined by the strategy which converges slowest and propose several simple approaches to overcome this limitation. We show that smoothing light boundaries (as commonly done in production to reduce variance) can improve (M)IS convergence (at a cost of introducing a small amount of bias) since it removes C 0 discontinuities within the integration domain. We also propose practical integrand‐ and sample‐mirroring approaches which cancel the impact of boundary discontinuities on the convergence rate of estimators.