QUASI-MONTE CARLO METHODS FOR HIGH-DIMENSIONAL INTEGRATION: THE STANDARD (WEIGHTED HILBERT SPACE) SETTING AND BEYOND

DOI10.1017/S1446181112000077zbMath1248.65001MaRDI QIDQ2895760

Christoph Schwab, Frances Y. Kuo, Ian H. Sloan

Publication date: 4 July 2012

Published in: The ANZIAM Journal (Search for Journal in Brave)

zbMATH Keywords

reproducing kernel Hilbert spacesweighted spacesdiscrepancyquasi-Monte Carlo methodslattice ruleslow-discrepancy sequencesoptimal order of convergenceworst-case errorhigh-dimensional integrationBanach space settingsequal-weight quadrature rulesproduct and order dependent weightsweighted Koksma-Hlawka inequality

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Research exposition (monographs, survey articles) pertaining to numerical analysis (65-02) Numerical quadrature and cubature formulas (65D32) Irregularities of distribution, discrepancy (11K38) Pseudo-random numbers; Monte Carlo methods (11K45)

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