Computational Higher Order Quasi-Monte Carlo Integration

DOI10.1007/978-3-319-33507-0_12zbMath1356.65003OpenAlexW1472566082MaRDI QIDQ2957036

Robert Nicholas Gantner, Christoph Schwab

Publication date: 20 January 2017

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/20.500.11850/94631

zbMATH Keywords

performanceconvergencequadrature rulesgenerating vectorsquasi-Monte Carlohigher orderfast component-by-component algorithmhigh-dimensional test integrandspolynominal lattice rule

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Multidimensional problems (41A63) Approximate quadratures (41A55) Numerical quadrature and cubature formulas (65D32) Complexity and performance of numerical algorithms (65Y20)

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Cites Work

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• On a projection-corrected component-by-component construction
• Component-by-component constructions achieve the optimal rate of convergence for multivariate integration in weighted Korobov and Sobolev spaces
• Random weights, robust lattice rules and the geometry of the \(cbcrc\) algorithm
• Good interlaced polynomial lattice rules for numerical integration in weighted Walsh spaces
• Bounds on Walsh coefficients by dyadic difference and a new Koksma-Hlawka type inequality for quasi-Monte Carlo integration
• Component-by-component construction of good lattice rules
• QUASI-MONTE CARLO METHODS FOR HIGH-DIMENSIONAL INTEGRATION: THE STANDARD (WEIGHTED HILBERT SPACE) SETTING AND BEYOND
• Fast algorithms for component-by-component construction of rank-1 lattice rules in shift-invariant reproducing kernel Hilbert spaces
• Explicit Constructions of Quasi-Monte Carlo Rules for the Numerical Integration of High-Dimensional Periodic Functions
• Walsh Spaces Containing Smooth Functions and Quasi–Monte Carlo Rules of Arbitrary High Order
• THE DECAY OF THE WALSH COEFFICIENTS OF SMOOTH FUNCTIONS
• Higher Order Quasi--Monte Carlo Integration for Holomorphic, Parametric Operator Equations
• Constructing Randomly Shifted Lattice Rules in Weighted Sobolev Spaces
• Higher Order QMC Petrov--Galerkin Discretization for Affine Parametric Operator Equations with Random Field Inputs

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