Fast CBC construction of randomly shifted lattice rules achieving \(\mathcal{O}(n^{- 1 + \delta})\) convergence for unbounded integrands over \(\mathbb{R}^s\) in weighted spaces with POD weights

DOI10.1016/j.jco.2014.02.004zbMath1302.65016OpenAlexW2080288600MaRDI QIDQ2251914

J. A. Nichols, Frances Y. Kuo

Publication date: 15 July 2014

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

Full work available at URL: https://doi.org/10.1016/j.jco.2014.02.004

zbMATH Keywords

quasi-Monte Carlo methodsrandomly shifted lattice rulesunbounded integrandsgeneral weightsPOD weights

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical integration (65D30)

Related Items

Circulant embedding with QMC: analysis for elliptic PDE with lognormal coefficients ⋮ Analysis of Preintegration Followed by Quasi–Monte Carlo Integration for Distribution Functions and Densities ⋮ Scaled lattice rules for integration on ℝ^{𝕕} achieving higher-order convergence with error analysis in terms of orthogonal projections onto periodic spaces ⋮ MDFEM: Multivariate decomposition finite element method for elliptic PDEs with lognormal diffusion coefficients using higher-order QMC and FEM ⋮ On the Choice of Weights in a Function Space for Quasi-Monte Carlo Methods for a Class of Generalised Response Models in Statistics ⋮ Equivalence between Sobolev spaces of first-order dominating mixed smoothness and unanchored ANOVA spaces on ℝ^{𝕕} ⋮ Construction-Free Median Quasi-Monte Carlo Rules for Function Spaces with Unspecified Smoothness and General Weights ⋮ Optimal algorithms for doubly weighted approximation of univariate functions ⋮ Multilevel quasi-Monte Carlo for optimization under uncertainty ⋮ Discrepancy-based inference for intractable generative models using quasi-Monte Carlo ⋮ Analyticity of parametric elliptic eigenvalue problems and applications to quasi-Monte Carlo methods ⋮ Randomized QMC Methods for Mixed-Integer Two-Stage Stochastic Programs with Application to Electricity Optimization ⋮ A Multi-Index Quasi--Monte Carlo Algorithm for Lognormal Diffusion Problems ⋮ QMC integration for lognormal-parametric, elliptic PDEs: local supports and product weights ⋮ Quasi-Monte Carlo finite element methods for elliptic PDEs with lognormal random coefficients ⋮ Quasi-Monte Carlo methods for two-stage stochastic mixed-integer programs ⋮ Application of quasi-Monte Carlo methods to elliptic PDEs with random diffusion coefficients: a survey of analysis and implementation ⋮ Support points ⋮ Weighted integration over a hyperrectangle based on digital nets and sequences ⋮ Multilevel quasi-Monte Carlo integration with product weights for elliptic PDEs with lognormal coefficients ⋮ Quasi-Monte Carlo Bayesian estimation under Besov priors in elliptic inverse problems ⋮ Integration in Hermite spaces of analytic functions ⋮ Multilevel Quasi-Monte Carlo methods for lognormal diffusion problems

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Quasi-Monte Carlo finite element methods for elliptic PDEs with lognormal random coefficients
• Quasi-Monte Carlo methods for elliptic PDEs with random coefficients and applications
• Efficient calculation of the worst-case error and (fast) component-by-component construction of higher order polynomial lattice rules
• The smoothing effect of the ANOVA decomposition
• QMC rules of arbitrary high order: Reproducing kernel Hilbert space approach
• Randomly shifted lattice rules for unbounded integrands
• On the convergence rate of the component-by-component construction of good lattice rules
• Quasi-Monte Carlo for highly structured generalised response models
• Randomly shifted lattice rules with the optimal rate of convergence for unbounded integrands
• Double exponential formulas for numerical integration
• When are quasi-Monte Carlo algorithms efficient for high dimensional integrals?
• Component-by-component constructions achieve the optimal rate of convergence for multivariate integration in weighted Korobov and Sobolev spaces
• Multivariate integration in weighted Hilbert spaces based on Walsh functions and weighted Sobolev spaces
• Finite-order weights imply tractability of multivariate integration
• Complexity of weighted approximation over \(\mathbb{R}\)
• General design Bayesian generalized linear mixed models
• Fast component-by-component construction of rank-1 lattice rules with a non-prime number of points
• Good lattice rules in weighted Korobov spaces with general weights
• Numerical simulations of non-ergodic solute transport in three-dimensional heterogeneous porous media
• Discovery of the double exponential transformation and its developments
• QUASI-MONTE CARLO METHODS FOR HIGH-DIMENSIONAL INTEGRATION: THE STANDARD (WEIGHTED HILBERT SPACE) SETTING AND BEYOND
• On the Choice of Weights in a Function Space for Quasi-Monte Carlo Methods for a Class of Generalised Response Models in Statistics
• Quasi-Monte Carlo for finance applications
• The construction of good extensible rank-1 lattices
• Fast algorithms for component-by-component construction of rank-1 lattice rules in shift-invariant reproducing kernel Hilbert spaces
• On decompositions of multivariate functions
• Walsh Spaces Containing Smooth Functions and Quasi–Monte Carlo Rules of Arbitrary High Order
• THE DECAY OF THE WALSH COEFFICIENTS OF SMOOTH FUNCTIONS
• Solute transport in heterogeneous porous formations
• Constructing Randomly Shifted Lattice Rules in Weighted Sobolev Spaces
• Quasi-Monte Carlo Finite Element Methods for a Class of Elliptic Partial Differential Equations with Random Coefficients
• The smoothing effect of integration in $\mathbb {R}^d$ and the ANOVA decomposition
• High-dimensional integration: The quasi-Monte Carlo way
• Constructing Embedded Lattice Rules for Multivariate Integration
• Theory of Reproducing Kernels