High dimensional integration of smooth functions over cubes
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The authors give a new algorithm for numerical integration of nonperiodic functions that are defined on a \(d\)-dimensional cube. They show that the algorithm is almost optimal (up to logarithmic factors) for different classes of functions with bounded mixed derivative. The construction of the algorithm is based on the Clenshaw-Curtis rule for \(d=1\) and on the method of \textit{S. A. Smolyak} [Dokl. Akad. Nauk SSSR 148, 1042-1045 (1963; Zbl 0202.39901)]. Numerical examples show that the new method is very competitive.
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