Monte Carlo complexity of global solution of integral equations

From MaRDI portal

Publication:1271167

Jump to:navigation, search

DOI10.1006/jcom.1998.0471zbMath0920.65090OpenAlexW2004973016MaRDI QIDQ1271167

Stefan Heinrich

Publication date: 23 September 1999

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

Full work available at URL: https://doi.org/10.1006/jcom.1998.0471

zbMATH Keywords

convergence Fredholm integral equation information-based complexity Monte Carlo complexity

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical methods for integral equations (65R20) Fredholm integral equations (45B05) Complexity and performance of numerical algorithms (65Y20)

Related Items

Multi-index Monte Carlo: when sparsity meets sampling ⋮ Uncertainty Quantification by Multilevel Monte Carlo and Local Time-Stepping for Wave Propagation ⋮ Selection of sampling numerical parameters for the DSMC method ⋮ Estimation of distributions via multilevel Monte Carlo with stratified sampling ⋮ A Proof that Artificial Neural Networks Overcome the Curse of Dimensionality in the Numerical Approximation of Black–Scholes Partial Differential Equations ⋮ Quantum complexity of parametric integration ⋮ Convergence of tamed Euler schemes for a class of stochastic evolution equations ⋮ Infinite-dimensional quadrature and approximation of distributions ⋮ Multilevel Sequential Monte Carlo with Dimension-Independent Likelihood-Informed Proposals ⋮ Strong convergence rate of Euler-Maruyama approximations in temporal-spatial Hölder-norms ⋮ Chebyshev interpolation for parametric option pricing ⋮ Stabilized multilevel Monte Carlo method for stiff stochastic differential equations ⋮ Coupling importance sampling and multilevel Monte Carlo using sample average approximation ⋮ Overcoming the curse of dimensionality in the numerical approximation of parabolic partial differential equations with gradient-dependent nonlinearities ⋮ Complexity of Banach Space Valued and Parametric Integration ⋮ Complexity of Banach space valued and parametric stochastic Itô integration ⋮ Divergence of the multilevel Monte Carlo Euler method for nonlinear stochastic differential equations ⋮ Unbiased MLMC-based Variational Bayes for Likelihood-Free Inference ⋮ Multilevel Monte Carlo Approximation of Distribution Functions and Densities ⋮ On a perturbation theory and on strong convergence rates for stochastic ordinary and partial differential equations with nonglobally monotone coefficients ⋮ Strong convergence rates for Cox-Ingersoll-Ross processes -- full parameter range ⋮ Multifidelity multilevel Monte Carlo to accelerate approximate Bayesian parameter inference for partially observed stochastic processes ⋮ Goal-oriented adaptive finite element multilevel Monte Carlo with convergence rates ⋮ Path integrals formulations leading to propagator evaluation for coupled linear physics in large geometric models ⋮ XVA in a multi-currency setting with stochastic foreign exchange rates ⋮ Construction of a Mean Square Error Adaptive Euler–Maruyama Method With Applications in Multilevel Monte Carlo ⋮ Multilevel Monte Carlo algorithms for Lévy-driven SDEs with Gaussian correction ⋮ Learning the random variables in Monte Carlo simulations with stochastic gradient descent: Machine learning for parametric PDEs and financial derivative pricing ⋮ Models and numerical methods for XVA pricing under mean reversion spreads in a multicurrency framework ⋮ Deep learning approximations for non-local nonlinear PDEs with Neumann boundary conditions ⋮ Rapid Covariance-Based Sampling of Linear SPDE Approximations in the Multilevel Monte Carlo Method ⋮ Overcoming the curse of dimensionality in the numerical approximation of backward stochastic differential equations ⋮ An overview on deep learning-based approximation methods for partial differential equations ⋮ Multilevel Monte Carlo Approximation of Functions ⋮ Continuous Level Monte Carlo and Sample-Adaptive Model Hierarchies ⋮ Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients ⋮ Multilevel Monte Carlo in approximate Bayesian computation ⋮ Monte Carlo complexity of parametric integration ⋮ Complexity of parametric integration in various smoothness classes ⋮ Multilevel sequential Monte Carlo: Mean square error bounds under verifiable conditions ⋮ Infinite-dimensional integration in weighted Hilbert spaces: anchored decompositions, optimal deterministic algorithms, and higher-order convergence ⋮ Monte Carlo method for solving Fredholm integral equations of the second kind ⋮ Application of quasi-Monte Carlo methods to elliptic PDEs with random diffusion coefficients: a survey of analysis and implementation ⋮ Optimization of mesh hierarchies in multilevel Monte Carlo samplers ⋮ Deterministic quadrature formulas for SDEs based on simplified weak Itô-Taylor steps ⋮ Overcoming the curse of dimensionality in the numerical approximation of semilinear parabolic partial differential equations ⋮ Complexity of parametric initial value problems in Banach spaces ⋮ Multilevel sequential Monte Carlo samplers ⋮ Central limit theorem for the multilevel Monte Carlo Euler method ⋮ Deterministic multi-level algorithms for infinite-dimensional integration on \(\mathbb R^{\mathbb N}\) ⋮ Monte Carlo approximation of weakly singular integral operators ⋮ Hierarchical Monte Carlo image synthesis ⋮ Optimal randomized changing dimension algorithms for infinite-dimensional integration on function spaces with ANOVA-type decomposition ⋮ Multi-level Monte Carlo algorithms for infinite-dimensional integration on \(\mathbb R^{\mathbb N}\) ⋮ Central limit theorems for multilevel Monte Carlo methods ⋮ Decision-theoretic sensitivity analysis for reservoir development under uncertainty using multilevel quasi-Monte Carlo methods ⋮ Multilevel Monte Carlo simulation of Coulomb collisions ⋮ The discrete-stochastic approaches to solving the linearized Boltzmann equation ⋮ An introduction to multilevel Monte Carlo for option valuation ⋮ Strong convergence for explicit space-time discrete numerical approximation methods for stochastic Burgers equations ⋮ Explicit error bounds for randomized Smolyak algorithms and an application to infinite-dimensional integration ⋮ Multilevel Monte Carlo Covariance Estimation for the Computation of Sobol' Indices ⋮ Multilevel Higher Order QMC Petrov--Galerkin Discretization for Affine Parametric Operator Equations ⋮ A continuation multi level Monte Carlo (C-MLMC) method for uncertainty quantification in compressible inviscid aerodynamics ⋮ Multilevel Picard iterations for solving smooth semilinear parabolic heat equations ⋮ On multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations ⋮ Infinite-dimensional integration on weighted Hilbert spaces ⋮ The power of standard information for multivariate approximation in the randomized setting ⋮ Constructing unbiased gradient estimators with finite variance for conditional stochastic optimization ⋮ Analysis of Nested Multilevel Monte Carlo Using Approximate Normal Random Variables ⋮ Algorithms for solving high dimensional PDEs: from nonlinear Monte Carlo to machine learning ⋮ A continuation multilevel Monte Carlo algorithm ⋮ A Milstein scheme for SPDEs

Cites Work

Retrieved from "https://portal.mardi4nfdi.de/w/index.php?title=Publication:1271167&oldid=13372943"