Multi-level Monte Carlo algorithms for infinite-dimensional integration on \(\mathbb R^{\mathbb N}\)
Publication:983180
DOI10.1016/j.jco.2010.02.002zbMath1207.65005MaRDI QIDQ983180
Ben Niu, Klaus Ritter, Thomas Müller-Gronbach, Fred J. Hickernell
Publication date: 3 August 2010
Published in: Journal of Complexity (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jco.2010.02.002
reproducing kernel Hilbert spaces; Monte Carlo algorithms; randomized algorithms; multi-level method; worst-case error; tractability; minimal error; fixed subspace sampling; infinite-dimensional quadrature; variable subspace sampling; integration on sequence spaces; worst-case cost
68W40: Analysis of algorithms
65C05: Monte Carlo methods
28A25: Integration with respect to measures and other set functions
41A63: Multidimensional problems
46E22: Hilbert spaces with reproducing kernels (= (proper) functional Hilbert spaces, including de Branges-Rovnyak and other structured spaces)
41A55: Approximate quadratures
65D32: Numerical quadrature and cubature formulas
65Y20: Complexity and performance of numerical algorithms
68W20: Randomized algorithms
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