On efficient weighted integration via a change of variables

DOI10.1007/S00211-020-01147-7MaRDI QIDQ2209530zbMATH OpenOpenAlexFDO

Authors Peter Kritzer, Friedrich Pillichshammer, Leszek Plaskota, Grzegorz W. Wasilkowski

Publication date 2 November 2020

Published in Numerische Mathematik (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1812.04259

zbMATH Keywords

numerical integrationquasi Monte Carlo methodchange of variables technique

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical integration (65D30)

Abstract: In this paper, we study the approximation of $d$-dimensional $ho$-weighted integrals over unbounded domains $mathbb{R}_{+}^d$ or $mathbb{R}^d$ using a special change of variables, so that quasi-Monte Carlo (QMC) or sparse grid rules can be applied to the transformed integrands over the unit cube. We consider a class of integrands with bounded $L_p$ norm of mixed partial derivatives of first order, where $pin[1,+infty].$ The main results give sufficient conditions on the change of variables $u$ which guarantee that the transformed integrand belongs to the standard Sobolev space of functions over the unit cube with mixed smoothness of order one. These conditions depend on $ho$ and $p$. The proposed change of variables is in general different than the standard change based on the inverse of the cumulative distribution function. We stress that the standard change of variables leads to integrands over a cube; however, those integrands have singularities which make the application of QMC and sparse grids ineffective. Our conclusions are supported by numerical experiments.

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Cited in

(6)

• Transformed rank-1 lattices for high-dimensional approximation
• Weighted quadrature by change of variable
• scientific article; zbMATH DE number 4133903 (Why is no real title available?)
• Quasi-interpolation for high-dimensional function approximation
• Efficient multivariate approximation on the cube
• On alternative quantization for doubly weighted approximation and integration over unbounded domains

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