Efficient algorithms for multivariate and \(\infty\)-variate integration with exponential weight (Q466863)
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English | Efficient algorithms for multivariate and \(\infty\)-variate integration with exponential weight |
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Efficient algorithms for multivariate and \(\infty\)-variate integration with exponential weight (English)
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31 October 2014
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The authors present an efficient algorithm for \(\infty\)-variate integration with exponential weight function \[ I_{\infty}(f) = \lim_{d\to \infty} \int_{{\mathbb R}_+^d} f(x_1,\dots,x_d,0,0,\dots)\, \exp(-\sum_{j=1}^d x_j)\,dx\,, \] where the function \(f\) is differentiable with respect to each variable and vanishes if there is at least one \(x_j =0\). The \(d\)-variate problem is solved by the \(d\)-variate integration method of \textit{S. A. Smolyak} [Dokl. Akad. Nauk SSSR 148, 1042--1045 (1963; Zbl 0202.39901)] which requires efficient algorithms for the univariate integral \[ I(f) = \int_0^{\infty} f(x)\, \exp(-x)\, dx. \] Using weighted trapezoidal rules, (nearly) optimal quadratures for \(I(f)\) are presented in detail.
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multivariate integration
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exponential weight
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\(\infty\)-variate integration
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Smolyak's algorithm
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univariate integral with exponential weight
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weighted trapezoidal rule
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nearly optimal quadrature
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