Preintegration via Active Subspace
From MaRDI portal
Recommendations
- High dimensional integration of kinks and jumps -- smoothing by preintegration
- Analysis of Preintegration Followed by Quasi–Monte Carlo Integration for Distribution Functions and Densities
- The effective dimension and quasi-Monte Carlo integration
- scientific article; zbMATH DE number 1790443
- Quasi–Monte Carlo integration over $\mathbb {R}^d$
Cites work
- scientific article; zbMATH DE number 5797591 (Why is no real title available?)
- scientific article; zbMATH DE number 3854294 (Why is no real title available?)
- scientific article; zbMATH DE number 53679 (Why is no real title available?)
- scientific article; zbMATH DE number 1999206 (Why is no real title available?)
- scientific article; zbMATH DE number 2051221 (Why is no real title available?)
- scientific article; zbMATH DE number 822320 (Why is no real title available?)
- scientific article; zbMATH DE number 1425054 (Why is no real title available?)
- scientific article; zbMATH DE number 3310475 (Why is no real title available?)
- A Class of Statistics with Asymptotically Normal Distribution
- A Strong Law of Large Numbers for Scrambled Net Integration
- A panorama of discrepancy theory
- Active subspace methods in theory and practice: applications to kriging surfaces
- Active subspaces. Emerging ideas for dimension reduction in parameter studies
- Analysis of variance designs for model output
- Asymptotically optimal importance sampling and stratification for pricing path-dependent options
- Conditional quasi-Monte Carlo methods and dimension reduction for option pricing and hedging with discontinuous functions
- Conditional sampling for barrier option pricing under the LT method
- Derivative based global sensitivity measures and their link with global sensitivity indices
- Generalized bounds for active subspaces
- Generating low-discrepancy sequences from the normal distribution: Box-Muller or inverse transform?
- Gradient-based dimension reduction of multivariate vector-valued functions
- High dimensional integration of kinks and jumps -- smoothing by preintegration
- Local antithetic sampling with scrambled nets
- Mean Dimension of Ridge Functions
- Monte Carlo Variance of Scrambled Net Quadrature
- On the \(L_2\)-discrepancy for anchored boxes
- On the error rate of conditional quasi-Monte Carlo for discontinuous functions
- On the variance of quadrature over scrambled nets and sequences
- Scrambled net variance for integrals of smooth functions
- Scrambling Sobol' and Niederreiter-Xing points
- Smoothness and dimension reduction in quasi-Monte Carlo methods
- The Brownian bridge does not offer a consistent advantage in quasi-Monte Carlo integration
- The jackknife estimate of variance
- The smoothing effect of the ANOVA decomposition
- Variance reduction via lattice rules
Cited in
(9)- Principal feature detection via -Sobolev inequalities
- High dimensional integration of kinks and jumps -- smoothing by preintegration
- Theory and construction of quasi-Monte Carlo rules for Asian option pricing and density estimation
- On sparse grid interpolation for American option pricing with multiple underlying assets
- Analysis of Preintegration Followed by Quasi–Monte Carlo Integration for Distribution Functions and Densities
- Conditional quasi-Monte Carlo with constrained active subspaces
- Error analysis of randomized quasi-Monte Carlo: non-asymptotic error bound, importance sampling and application to linear elliptic PDEs with lognormal coefficients
- Pre-integration via Active Subspaces
- Density estimation for elliptic PDE with random input by preintegration and quasi-Monte Carlo methods
This page was built for publication: Preintegration via Active Subspace
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5886240)
