Optimal stochastic quadrature formulas for convex functions

DOI10.1007/BF01955875zbMATH Open0818.65014OpenAlexW2088047518MaRDI QIDQ1335002FDOQ1335002

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

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zbMATH Keywords

performanceMonte Carlo methodsconvex functionsadaptive quadratureoptimal stochastic quadrature formulas

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Deterministic and stochastic error bounds in numerical analysis
• On a problem proposed by H.Braß concerning the remainder term in quadrature for convex functions
• Gaussian quadrature formulae -- second Peano kernels, nodes, weights and Bessel functions
• Title not available (Why is that?)
• Title not available (Why is that?)
• Best quadrature formula in the class of convex functions
• Quadrature Formulas for Monotone Functions

Cited In (13)

• Investigation of methods of numerical integration with optimal convergence speed
• The difficulty of Monte Carlo approximation of multivariate monotone functions
• Quadratic Optimal Functional Quantization of Stochastic Processes and Numerical Applications
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Quadrature Formulas for Monotone Functions
• Randomized complexity of parametric integration and the role of adaption. I: Finite dimensional case
• Adaptive optimization of the Monte-Carlo method
• Convex properties of the quantile function in stochastic programming
• What Monte Carlo models can do and cannot do efficiently?
• Title not available (Why is that?)
• Optimal and quasi-optimal regularizing algorithms for solving stochastic integral equations of the convolution type

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