Optimal stochastic quadrature formulas for convex functions

DOI10.1007/BF01955875MaRDI QIDQ1335002zbMATH OpenOpenAlexFDO

Authors Erich Novak, Knut Petras

Publication date 26 September 1994

Published in BIT (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf01955875

zbMATH Keywords

adaptive quadratureconvex functionsMonte Carlo methodsoptimal stochastic quadrature formulasperformance

Mathematics Subject Classification ID

Approximate quadratures (41A55) Monte Carlo methods (65C05) Numerical quadrature and cubature formulas (65D32)

Review text

Optimal stochastic (Monte Carlo) quadrature formulas for defined classes of convex functions are studied. Specifically, non-adaptive Monte Carlo methods are seen to be no better than deterministic methods, but adaptive Monte Carlo methods are shown to exhibit a superior performance.

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Cites work

• Best quadrature formula in the class of convex functions
• Deterministic and stochastic error bounds in numerical analysis
• Gaussian quadrature formulae -- second Peano kernels, nodes, weights and Bessel functions
• scientific article; zbMATH DE number 193625 (Why is no real title available?)
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• scientific article; zbMATH DE number 524186 (Why is no real title available?)
• On a problem proposed by H.Braß concerning the remainder term in quadrature for convex functions
• Quadrature Formulas for Monotone Functions

Cited in

(15)

• What Monte Carlo models can do and cannot do efficiently?
• The difficulty of Monte Carlo approximation of multivariate monotone functions
• Convex properties of the quantile function in stochastic programming
• Adaptive optimization of the Monte-Carlo method
• Quadrature formulas for multivariate convex functions
• Investigation of methods of numerical integration with optimal convergence speed
• Quadratic Optimal Functional Quantization of Stochastic Processes and Numerical Applications
• scientific article; zbMATH DE number 3971402 (Why is no real title available?)
• scientific article; zbMATH DE number 4054242 (Why is no real title available?)
• Quadrature Formulas for Monotone Functions
• scientific article; zbMATH DE number 177355 (Why is no real title available?)
• scientific article; zbMATH DE number 1285665 (Why is no real title available?)
• scientific article; zbMATH DE number 524184 (Why is no real title available?)
• Optimal and quasi-optimal regularizing algorithms for solving stochastic integral equations of the convolution type
• Randomized complexity of parametric integration and the role of adaption. I: Finite dimensional case

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