Constructing Embedded Lattice Rules for Multivariate Integration
From MaRDI portal
Publication:5428401
DOI10.1137/06065074XzbMath1126.65002OpenAlexW2035455944WikidataQ57778908 ScholiaQ57778908MaRDI QIDQ5428401
Frances Y. Kuo, Dirk Nuyens, Ronald Cools
Publication date: 22 November 2007
Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/06065074x
algorithmnumerical integrationnumerical examplesfast Fourier transformscubature formulaerank-1 lattice rulesembedded lattice rulesextensible lattice sequencesfast component-by-component constructionquasi-monte Carlo methods
Monte Carlo methods (65C05) Multidimensional problems (41A63) Approximate quadratures (41A55) Numerical quadrature and cubature formulas (65D32)
Related Items (52)
A study of highly efficient stochastic sequences for multidimensional sensitivity analysis ⋮ Circulant embedding with QMC: analysis for elliptic PDE with lognormal coefficients ⋮ Analysis of Preintegration Followed by Quasi–Monte Carlo Integration for Distribution Functions and Densities ⋮ Scaled lattice rules for integration on ℝ^{𝕕} achieving higher-order convergence with error analysis in terms of orthogonal projections onto periodic spaces ⋮ QUASI-MONTE CARLO METHODS FOR HIGH-DIMENSIONAL INTEGRATION: THE STANDARD (WEIGHTED HILBERT SPACE) SETTING AND BEYOND ⋮ Shifted lattice rules based on a general weighted discrepancy for integrals over Euclidean space ⋮ Construction algorithms for good extensible lattice rules ⋮ Construction Schemes for Weighted Lattice Rules ⋮ Quasi-Monte Carlo Image Synthesis in a Nutshell ⋮ Conditional Sampling for Barrier Option Pricing Under the Heston Model ⋮ QMC Galerkin Discretization of Parametric Operator Equations ⋮ Physics-informed distribution transformers via molecular dynamics and deep neural networks ⋮ A Global Adaptive Quasi-Monte Carlo Algorithm for Functions of Low Truncation Dimension Applied to Problems from Finance ⋮ Random weights, robust lattice rules and the geometry of the \(cbcrc\) algorithm ⋮ Stability of lattice rules and polynomial lattice rules constructed by the component-by-component algorithm ⋮ Quasi-Monte Carlo Software ⋮ Variance bounds and existence results for randomly shifted lattice rules ⋮ Numerical integration in log-Korobov and log-cosine spaces ⋮ Constructing QMC Finite Element Methods for Elliptic PDEs with Random Coefficients by a Reduced CBC Construction ⋮ Rank-1 Lattices and Higher-Order Exponential Splitting for the Time-Dependent Schrödinger Equation ⋮ Bounding the Spectral Gap for an Elliptic Eigenvalue Problem with Uniformly Bounded Stochastic Coefficients ⋮ Lattice rules for nonperiodic smooth integrands ⋮ Ian Sloan and Lattice Rules ⋮ Constructing lattice points for numerical integration by a reduced fast successive coordinate search algorithm ⋮ Monte Carlo finite volume element methods for the convection-diffusion equation with a random diffusion coefficient ⋮ Quasi-Monte Carlo for highly structured generalised response models ⋮ Some arithmetic properties of short random walk integrals ⋮ Tractability using periodized generalized Faure sequences ⋮ Weighted compound integration rules with higher order convergence for all \(N\) ⋮ Fast component-by-component construction of lattice algorithms for multivariate approximation with POD and SPOD weights ⋮ Quasi-Monte Carlo finite element methods for elliptic PDEs with lognormal random coefficients ⋮ Searching for extensible Korobov rules ⋮ Application of quasi-Monte Carlo methods to elliptic PDEs with random diffusion coefficients: a survey of analysis and implementation ⋮ Analysis and Application of Single Level, Multi-Level Monte Carlo and Quasi-Monte Carlo Finite Element Methods for Time-Dependent Maxwell's Equations with Random Inputs ⋮ Fast CBC construction of randomly shifted lattice rules achieving \(\mathcal{O}(n^{- 1 + \delta})\) convergence for unbounded integrands over \(\mathbb{R}^s\) in weighted spaces with POD weights ⋮ Parametric dominant pole algorithm for parametric model order reduction ⋮ Quasi-Monte Carlo methods with applications in finance ⋮ Randomly shifted lattice rules with the optimal rate of convergence for unbounded integrands ⋮ Quasi-Monte Carlo methods for elliptic PDEs with random coefficients and applications ⋮ The construction of extensible polynomial lattice rules with small weighted star discrepancy ⋮ Comparison of Point Sets and Sequences for Quasi-Monte Carlo and for Random Number Generation ⋮ The construction of good extensible rank-1 lattices ⋮ Efficient Implementations of the Multivariate Decomposition Method for Approximating Infinite-Variate Integrals ⋮ Uncertainty Quantification Using Periodic Random Variables ⋮ Optimal multilevel randomized quasi-Monte-Carlo method for the stochastic drift-diffusion-Poisson system ⋮ Strang Splitting in Combination with Rank-1 and Rank-r Lattices for the Time-Dependent Schrödinger Equation ⋮ Lattice algorithms for multivariate approximation in periodic spaces with general weight parameters ⋮ Good lattice rules based on the general weighted star discrepancy ⋮ Proof techniques in quasi-Monte Carlo theory ⋮ Fast construction of higher order digital nets for numerical integration in weighted Sobolev spaces ⋮ Multi-level quasi-Monte Carlo finite element methods for a class of elliptic PDEs with random coefficients ⋮ Multilevel Quasi-Monte Carlo methods for lognormal diffusion problems
This page was built for publication: Constructing Embedded Lattice Rules for Multivariate Integration
