On an interpolatory method for high dimensional integration

DOI10.1016/S0377-0427(99)00222-8MaRDI QIDQ1964089zbMATH OpenOpenAlexFDO

Authors Klaus Ritter, Richard Schmitt, Achim Steinbauer, Erich Novak

Publication date 3 February 2000

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0377-0427(99)00222-8

zbMATH Keywords

comparison of methodserror boundsGaussian weight functionsGenz functionsmultidimensional integrationnumerical experimentsnumerical integrationpolynomial exactness

Mathematics Subject Classification ID

Approximate quadratures (41A55) Multidimensional problems (41A63) Numerical quadrature and cubature formulas (65D32)

Review text

The numerical integration of functions which are defined on a bounded or unbounded hyperrectangular region is discussed. The integrand must be smooth, possibly very smooth. This means that certain high order derivatives exist and have a small norm. The method is based on a product formula in the sense of \textit{S. A. Smolyak} [Dokl. Akad. Nauk SSSR 148, 1042-1045 (1963; Zbl 0202.39901)]. Only products with a relatively small number of knots are used. Theoretical results are given concerning error bounds and polynomial exactness. Numerical experiments using the classical formulas of \textit{C. W. Clenshaw} and \textit{A. R. Curtis} [Numer. Math. 2, 197-205 (1960; Zbl 0093.140xx)] and a comparison of different methods are presented. To this end the testing package of Genz functions is used. The paper ends with a report on integrands with Gaussian weight functions, because of their utility in a wide range of applications in physics, statistics, and finance.

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Cited in

(19)

• Quadrature formulas for the Wiener measure
• Multidimensional quadrature algorithms at higher degree and/or dimension
• Fully symmetric interpolatory rules for multiple integrals over infinite regions with Gaussian weight
• Weighted tensor product algorithms for linear multivariate problems
• Surprises in high-dimensional ridgeless least squares interpolation
• High-dimensional integration on \(\mathbb{R}^d\), weighted Hermite spaces, and orthogonal transforms
• Symmetry exploits for Bayesian cubature methods
• Sparse grid collocation schemes for stochastic natural convection problems
• Cubature formulas for function spaces with moderate smoothness
• High dimensional integration of smooth functions over cubes
• Cubature formulas for symmetric measures in higher dimensions with few points
• scientific article; zbMATH DE number 1943030 (Why is no real title available?)
• Fast convergence of quasi-Monte Carlo for a class of isotropic integrals
• Algorithm 798
• Fully Symmetric Kernel Quadrature
• Higher-Dimensional Integration with Gaussian Weight for Applications in Probabilistic Design
• Distributed control of the stochastic Burgers equation with random input data
• Random Construction of Interpolating Sets for High-Dimensional Integration
• Transporting higher-order quadrature rules -- quasi-Monte Carlo points and sparse grids for mixture distributions

Describes a project that uses

Uses Software

• PATSYM
• TESTPACK
• HRMSYM

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