A universal algorithm for multivariate integration

DOI10.1007/s10208-016-9307-yzbMath1384.65003arXiv1507.06853OpenAlexW2281580344MaRDI QIDQ2407672

David Krieg, Erich Novak

Publication date: 6 October 2017

Published in: Foundations of Computational Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1507.06853

zbMATH Keywords

Sobolev spacesMonte Carlo methodquadrature ruleoptimal order of convergencemultivariate integrationworst-case errorrandomized errorrandomized Frolov algorithm

Mathematics Subject Classification ID

Analysis of algorithms and problem complexity (68Q25) Monte Carlo methods (65C05) Random number generation in numerical analysis (65C10) Complexity and performance of numerical algorithms (65Y20)

Related Items (18)

Change of variable in spaces of mixed smoothness and numerical integration of multivariate functions on the unit cube ⋮ Optimal randomized quadrature for weighted Sobolev and Besov classes with the Jacobi weight on the ball ⋮ On the orthogonality of the Chebyshev-Frolov lattice and applications ⋮ A Monte Carlo Method for Integration of Multivariate Smooth Functions ⋮ Random-prime-fixed-vector randomised lattice-based algorithm for high-dimensional integration ⋮ Recovery of Sobolev functions restricted to iid sampling ⋮ Complexity of Monte Carlo integration for Besov classes on the unit sphere ⋮ Some Results on the Complexity of Numerical Integration ⋮ Higher-Order Monte Carlo through Cubic Stratification ⋮ A Universal Median Quasi-Monte Carlo Integration ⋮ Consistency of randomized integration methods ⋮ A note on the dispersion of admissible lattices ⋮ Optimal Monte Carlo methods for \(L^2\)-approximation ⋮ Lattice rules with random \(n\) achieve nearly the optimal \(\mathcal{O}(n^{-\alpha-1/2})\) error independently of the dimension ⋮ Optimal order quadrature error bounds for infinite-dimensional higher-order digital sequences ⋮ The Role of Frolov's Cubature Formula for Functions with Bounded Mixed Derivative ⋮ Numerical performance of optimized Frolov lattices in tensor product reproducing kernel Sobolev spaces ⋮ Optimal confidence for Monte Carlo integration of smooth functions

Cites Work

• Tractability of multivariate problems. Volume II: Standard information for functionals.
• Deterministic and stochastic error bounds in numerical analysis
• Cubature formulas, discrepancy, and nonlinear approximation
• My dream quadrature rule
• The Role of Frolov's Cubature Formula for Functions with Bounded Mixed Derivative
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