Asymptotically optimal weighted numerical integration

DOI10.1006/JCOM.1997.0467MaRDI QIDQ1265136zbMATH OpenOpenAlexFDO

Authors Peter Mathé

Publication date 19 April 1999

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

Full work available at URL https://semanticscholar.org/paper/59f7c56ab496cb76939b3afbd98021664cb82d36

zbMATH Keywords

Brownian pathsHölder-type functionsnumerical integration

Mathematics Subject Classification ID

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

Review text

The aim of this paper is to investigate numerical integration of Hölder-type functions with respect to weights on the infinite interval \((-\infty,+\infty)\). The author extends previous work by \textit{F. Curbera} [Integration of Lipschitz functions with Gaussian weights, ibid. 14, No. 1, 122-149 (1998; Zbl 0908.65013)] and presents a connection between this problem and the approximation of distribution functions by empirical ones. An application for weighted integration of Brownian paths is given.

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Cites work

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Cited in

(8)

• Worst case complexity of weighted approximation and integration over \(\mathbb{R}^d\)
• Complexity of weighted approximation over \(\mathbb{R}\)
• On numerical integration methods with \(T\)-distribution weight function
• Optimal quadrature problem on Hardy-Sobolev classes
• Finite-order Integration Weights Can be Dangerous
• Average case complexity of weighted approximation and integration over \(\mathbb R_{+}\)
• Optimal quadrature problem on classes defined by kernels satisfying certain oscillation properties
• On numerical integration methods with the generalized Stieltjes weight function

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