Liberating the weights

DOI10.1016/J.JCO.2003.06.002MaRDI QIDQ1888371zbMATH OpenOpenAlexFDO

Authors Josef Dick, Ian H. Sloan, Xiaoqun Wang, H. Woźniakowski

Publication date 23 November 2004

Published in Journal of Complexity (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jco.2003.06.002

zbMATH Keywords

weighted Sobolev spacequasi-Monte Carlo algorithms

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Complexity and performance of numerical algorithms (65Y20)

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Cites work

• scientific article; zbMATH DE number 1390101 (Why is no real title available?)
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• Constructing Randomly Shifted Lattice Rules in Weighted Sobolev Spaces
• Global sensitivity indices for nonlinear mathematical models and their Monte Carlo estimates
• Intractability results for integration and discrepancy
• On the step-by-step construction of quasi--Monte Carlo integration rules that achieve strong tractability error bounds in weighted Sobolev spaces
• On the tractability of the Brownian bridge algorithm
• Reducing the construction cost of the component-by-component construction of good lattice rules
• Some applications of multidimensional integration by parts
• The effective dimension and quasi-Monte Carlo integration
• The jackknife estimate of variance
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• Tractability of multivariate integration for periodic functions
• Tractability of multivariate integration for weighted Korobov classes
• Weighted tensor product algorithms for linear multivariate problems
• When are quasi-Monte Carlo algorithms efficient for high dimensional integrals?

Cited in

(44)

• On decompositions of multivariate functions
• 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
• Construction algorithms for polynomial lattice rules for multivariate integration
• Scaled lattice rules for integration on \(\mathbb{R}^d\) achieving higher-order convergence with error analysis in terms of orthogonal projections onto periodic spaces
• Tractability properties of the weighted star discrepancy
• Multi-level quasi-Monte Carlo finite element methods for a class of elliptic PDEs with random coefficients
• Good lattice rules in weighted Korobov spaces with general weights
• Exact cubature for a class of functions of maximum effective dimension
• Dyadic diaphony of digital nets over \(\mathbb Z_2\)
• Construction algorithms for good extensible lattice rules
• A Taylor space for multivariate integration
• On quasi-Monte Carlo methods in weighted ANOVA spaces
• The construction of good extensible rank-1 lattices
• Level set methods for stochastic discontinuity detection in nonlinear problems
• Are quasi-Monte Carlo algorithms efficient for two-stage stochastic programs?
• Diaphony, discrepancy, spectral test and worst-case error
• Complexity and effective dimension of discrete Lévy areas
• Quasi-Monte Carlo methods can be efficient for integration over products of spheres
• The construction of good extensible Korobov rules
• QMC Galerkin discretization of parametric operator equations
• Periodization strategy may fail in high dimensions
• Multivariate integration in weighted Hilbert spaces based on Walsh functions and weighted Sobolev spaces
• Anchor points matter in ANOVA decomposition
• On figures of merit for randomly-shifted lattice rules
• scientific article; zbMATH DE number 1790428 (Why is no real title available?)
• Randomly shifted lattice rules on the unit cube for unbounded integrands in high dimensions
• Tractability using periodized generalized Faure sequences
• On the choice of weights in a function space for quasi-Monte Carlo methods for a class of generalised response models in statistics
• A pseudo-marginal sequential Monte Carlo algorithm for random effects models in Bayesian sequential design
• The weighted star discrepancy of Korobov’s $p$-sets
• Low discrepancy sequences in high dimensions: how well are their projections distributed?
• Application of quasi-Monte Carlo methods to elliptic PDEs with random diffusion coefficients: a survey of analysis and implementation
• Lifting weighted blow-ups
• Calculation of discrepancy measures and applications
• Discrepancy theory and quasi-Monte Carlo integration
• Infinite-dimensional integration on weighted Hilbert spaces
• An algorithm to compute the \(t\)-value of a digital net and of its projections
• Randomly shifted lattice rules for unbounded integrands
• Quasi-Monte Carlo methods with applications in finance
• Quasi-Monte Carlo methods for linear two-stage stochastic programming problems
• Finite-order weights imply tractability of multivariate integration
• Some results on the complexity of numerical integration
• Comparison of Point Sets and Sequences for Quasi-Monte Carlo and for Random Number Generation
• Fast algorithms for component-by-component construction of rank-1 lattice rules in shift-invariant reproducing kernel Hilbert spaces

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