Probabilistic analysis of numerical integration algorithms

DOI10.1016/0885-064X(91)90044-XMaRDI QIDQ758101zbMATH OpenOpenAlexFDO

Authors D. Kharzeev

Publication date 1991

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

Full work available at URL https://doi.org/10.1016/0885-064x(91)90044-x

zbMATH Keywords

error estimationWiener measureprobabilistic modeladaptive numerical integration

Mathematics Subject Classification ID

Numerical quadrature and cubature formulas (65D32) Approximate quadratures (41A55) Set functions and measures and integrals in infinite-dimensional spaces (Wiener measure, Gaussian measure, etc.) (28C20)

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Cites work

• scientific article; zbMATH DE number 3890493 (Why is no real title available?)
• scientific article; zbMATH DE number 3537179 (Why is no real title available?)
• scientific article; zbMATH DE number 3247704 (Why is no real title available?)
• A probabilistic theory for error estimation in automatic integration
• Gaussian measures in Banach spaces
• On the Power of Adaptive Information for Functions with Singularities

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(11)

• A measure-theoretic interpretation of sample based numerical integration with applications to inverse and prediction problems under uncertainty
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• Probabilistic analysis of Simpson's quadrature
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• Modelling the discretization error of initial value problems using the Wishart distribution
• Adaptive experiment design for probabilistic integration
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• A probabilistic theory for error estimation in automatic integration
• Corrections to Probabilistic analysis of numerical methods for integral equations
• An algorithm-driven approach to error analysis for multidimensional integration

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