Tensor-train numerical integration of multivariate functions with singularities

DOI10.1134/S1995080221070258zbMATH Open1497.65062arXiv2103.12129MaRDI QIDQ2046409FDOQ2046409

Authors: L. I. Vysotsky, A. V. Smirnov, E. E. Tyrtyshnikov 

Publication date: 18 August 2021

Published in: Lobachevskii Journal of Mathematics (Search for Journal in Brave)

Abstract: Numerical integration is a classical problem emerging in many fields of science. Multivariate integration cannot be approached with classical methods due to the exponential growth of the number of quadrature nodes. We propose a method to overcome this problem. Tensor-train decomposition of a tensor approximating the integrand is constructed and used to evaluate a multivariate quadrature formula. We show how to deal with singularities in the integration domain and conduct theoretical analysis of the integration accuracy. The reference open-source implementation is provided.

Full work available at URL: https://arxiv.org/abs/2103.12129

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zbMATH Keywords

numerical integrationTT-formatmultivariate integrationmultidimensional integrationtensor trainsampling point

Mathematics Subject Classification ID

Numerical integration (65D30) Numerical quadrature and cubature formulas (65D32) Multidimensional problems (41A63) Approximate quadratures (41A55)

Cites Work

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Cited In (2)

• Tensor structured evaluation of singular volume integrals
• FIESTA5: numerical high-performance Feynman integral evaluation

Uses Software

• Cuba
• QUADPACK
• UNCMND
• VEGAS
• pchip
• FIESTA
• pySecDec

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