Monte Carlo complexity of parametric integration

From MaRDI portal
Publication:1961049

DOI10.1006/jcom.1999.0508zbMath0958.68068OpenAlexW2050871708MaRDI QIDQ1961049

Stefan Heinrich, Eugène Sindambiwe

Publication date: 1 April 2001

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

Full work available at URL: https://doi.org/10.1006/jcom.1999.0508




Related Items

Multi-index Monte Carlo: when sparsity meets samplingUncertainty Quantification by Multilevel Monte Carlo and Local Time-Stepping for Wave PropagationQuantum complexity of parametric integrationInfinite-dimensional quadrature and approximation of distributionsChebyshev interpolation for parametric option pricingCoupling importance sampling and multilevel Monte Carlo using sample average approximationOvercoming the curse of dimensionality in the numerical approximation of parabolic partial differential equations with gradient-dependent nonlinearitiesComplexity of Banach Space Valued and Parametric IntegrationComplexity of Banach space valued and parametric stochastic Itô integrationDivergence of the multilevel Monte Carlo Euler method for nonlinear stochastic differential equationsGoal-oriented adaptive finite element multilevel Monte Carlo with convergence ratesConstruction of a Mean Square Error Adaptive Euler–Maruyama Method With Applications in Multilevel Monte CarloRandomized complexity of parametric integration and the role of adaption. I: Finite dimensional caseLearning the random variables in Monte Carlo simulations with stochastic gradient descent: Machine learning for parametric PDEs and financial derivative pricingRandomized complexity of parametric integration and the role of adaption. II: Sobolev spacesDeep learning approximations for non-local nonlinear PDEs with Neumann boundary conditionsOvercoming the curse of dimensionality in the numerical approximation of backward stochastic differential equationsAn overview on deep learning-based approximation methods for partial differential equationsOn the Complexity of Parametric ODEs and Related ProblemsComplexity of parametric integration in various smoothness classesComplexity of parametric initial value problems for systems of odesInfinite-dimensional integration in weighted Hilbert spaces: anchored decompositions, optimal deterministic algorithms, and higher-order convergenceOptimization of mesh hierarchies in multilevel Monte Carlo samplersComplexity of parametric initial value problems in Banach spacesCentral limit theorem for the multilevel Monte Carlo Euler methodAn Empirical Interpolation and Model-Variance Reduction Method for Computing Statistical Outputs of Parametrized Stochastic Partial Differential EquationsMonte Carlo approximation of weakly singular integral operatorsExplicit error bounds for randomized Smolyak algorithms and an application to infinite-dimensional integrationMultilevel Monte Carlo Covariance Estimation for the Computation of Sobol' IndicesA continuation multi level Monte Carlo (C-MLMC) method for uncertainty quantification in compressible inviscid aerodynamicsOn multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equationsAlgorithms for solving high dimensional PDEs: from nonlinear Monte Carlo to machine learningA continuation multilevel Monte Carlo algorithmVariance reduction for additive functionals of Markov chains via martingale representations



Cites Work