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

adaptive numerical integrationerror estimationprobabilistic modelWiener measure

Mathematics Subject Classification ID

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

Review text

The author studies the expected error of approximation for a class of adaptive numerical integration methods. He analyzes a heuristic error criterion that can be used to choose the initial approximation and serve as the termination and adaptation criterion with a rigorous mathematical (probabilistic) basis. The probabilistic model assumes that the functions are distributed according to a k-fold Wiener measure on an appropriate space of k-times continuously differentiable functions.

Recommendations

• scientific article; zbMATH DE number 750752
• Probabilistic analysis of numerical methods for integral equations
• scientific article; zbMATH DE number 6815826
• scientific article; zbMATH DE number 933356
• scientific article; zbMATH DE number 4137536
• scientific article; zbMATH DE number 4049028
• scientific article; zbMATH DE number 4047070
• scientific article; zbMATH DE number 1246226
• scientific article; zbMATH DE number 816241
• scientific article; zbMATH DE number 4011127

Cites work

• A probabilistic theory for error estimation in automatic integration
• Gaussian measures in Banach spaces
• 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?)
• On the Power of Adaptive Information for Functions with Singularities

Cited in

(12)

• A probabilistic theory for error estimation in automatic integration
• Corrections to Probabilistic analysis of numerical methods for integral equations
• Probabilistic analysis of Simpson's quadrature
• Adaptive experiment design for probabilistic integration
• scientific article; zbMATH DE number 139898 (Why is no real title available?)
• scientific article; zbMATH DE number 1285663 (Why is no real title available?)
• scientific article; zbMATH DE number 6815826 (Why is no real title available?)
• scientific article; zbMATH DE number 750752 (Why is no real title available?)
• Probabilistic approach to characterize quantitative uncertainty in numerical approximations
• A measure-theoretic interpretation of sample based numerical integration with applications to inverse and prediction problems under uncertainty
• An algorithm-driven approach to error analysis for multidimensional integration
• Modelling the discretization error of initial value problems using the Wishart distribution

This page was built for publication: Probabilistic analysis of numerical integration algorithms

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q758101)