Fast algorithms for component-by-component construction of rank-1 lattice rules in shift-invariant reproducing kernel Hilbert spaces
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Publication:3377002
DOI10.1090/S0025-5718-06-01785-6zbMATH Open1094.65004WikidataQ57778912 ScholiaQ57778912MaRDI QIDQ3377002FDOQ3377002
Authors: Dirk Nuyens, Ronald Cools 
Publication date: 27 March 2006
Published in: Mathematics of Computation (Search for Journal in Brave)
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fast algorithmkernel matrixnumerical resultsperiodic functionsrank-1 lattice rulescomponent-by-component algorithm\(s\)-dimensional integrals
Monte Carlo methods (65C05) Numerical quadrature and cubature formulas (65D32) Multidimensional problems (41A63) Approximate quadratures (41A55)
Cites Work
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- Component-by-component construction of good lattice rules
- Component-by-component constructions achieve the optimal rate of convergence for multivariate integration in weighted Korobov and Sobolev spaces
- Fast component-by-component construction of rank-1 lattice rules with a non-prime number of points
- Constructing Randomly Shifted Lattice Rules in Weighted Sobolev Spaces
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- Liberating the weights
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- Reducing the construction cost of the component-by-component construction of good lattice rules
Cited In (only showing first 100 items - show all)
- Optimal randomized changing dimension algorithms for infinite-dimensional integration on function spaces with ANOVA-type decomposition
- Construction of scrambled polynomial lattice rules over \(\mathbb{F}_{2}\) with small mean square weighted \(\mathcal{L}_{2}\) discrepancy
- A construction of polynomial lattice rules with small gain coefficients
- 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
- Fast QMC matrix-vector multiplication
- Constructions of general polynomial lattice rules based on the weighted star discrepancy
- Multi-level quasi-Monte Carlo finite element methods for a class of elliptic PDEs with random coefficients
- Higher-order quasi-Monte Carlo for Bayesian shape inversion
- Quasi-Monte Carlo methods for high-dimensional integration: the standard (weighted Hilbert space) setting and beyond
- Variance bounds and existence results for randomly shifted lattice rules
- Richardson extrapolation of polynomial lattice rules
- Quasi-Monte Carlo for highly structured generalised response models
- Shifted lattice rules based on a general weighted discrepancy for integrals over Euclidean space
- Existence and construction of shifted lattice rules with an arbitrary number of points and bounded weighted star discrepancy for general decreasing weights
- Quasi-Monte Carlo methods for elliptic PDEs with random coefficients and applications
- Analysis of quasi-Monte Carlo methods for elliptic eigenvalue problems with stochastic coefficients
- Good interlaced polynomial lattice rules for numerical integration in weighted Walsh spaces
- Monte Carlo finite volume element methods for the convection-diffusion equation with a random diffusion coefficient
- Intermediate rank lattice rules and applications to finance
- The construction of good extensible rank-1 lattices
- Very low truncation dimension for high dimensional integration under modest error demand
- Lattice-Nyström method for Fredholm integral equations of the second kind with convolution type kernels
- Multidimensional pseudo-spectral methods on lattice grids
- Fast component-by-component construction, a reprise for different kernels
- A reduced fast component-by-component construction of lattice points for integration in weighted spaces with fast decreasing weights
- Constructing good higher order polynomial lattice rules with modulus of reduced degree
- Tent-transformed lattice rules for integration and approximation of multivariate non-periodic functions
- A GPU compatible quasi-Monte Carlo integrator interfaced to pySecDec
- The construction of good extensible Korobov rules
- QMC Galerkin discretization of parametric operator equations
- A note on concatenation of quasi-Monte Carlo and plain Monte Carlo rules in high dimensions
- Computational higher order quasi-Monte Carlo integration
- Lattice algorithms for multivariate \(L_{\infty}\) approximation in the worst-case setting
- Multilevel quasi-Monte Carlo integration with product weights for elliptic PDEs with lognormal coefficients
- Automatic evaluations of cross-derivatives
- Randomly shifted lattice rules on the unit cube for unbounded integrands in high dimensions
- Modern Monte Carlo variants for uncertainty quantification in neutron transport
- On the choice of weights in a function space for quasi-Monte Carlo methods for a class of generalised response models in statistics
- Lattice rules for nonperiodic smooth integrands
- Application of quasi-Monte Carlo methods to elliptic PDEs with random diffusion coefficients: a survey of analysis and implementation
- Calculation of discrepancy measures and applications
- Numerical integration in log-Korobov and log-cosine spaces
- On combined component-by-component constructions of lattice point sets
- Higher order quasi Monte-Carlo integration in uncertainty quantification
- Lattice rule algorithms for multivariate approximation in the average case setting
- Discrepancy theory and quasi-Monte Carlo integration
- Efficient calculation of the worst-case error and (fast) component-by-component construction of higher order polynomial lattice rules
- Quasi-Monte Carlo finite element methods for elliptic PDEs with lognormal random coefficients
- Liberating the dimension
- Exponential convergence and tractability of multivariate integration for Korobov spaces
- Fast component-by-component construction of rank-1 lattice rules with a non-prime number of points
- On a projection-corrected component-by-component construction
- Multilevel Quasi-Monte Carlo methods for lognormal diffusion problems
- Randomly shifted lattice rules for unbounded integrands
- Construction of interlaced polynomial lattice rules for infinitely differentiable functions
- Approximation of multivariate periodic functions by trigonometric polynomials based on rank-1 lattice sampling
- Randomly shifted lattice rules with the optimal rate of convergence for unbounded integrands
- Good lattice rules based on the general weighted star discrepancy
- Quasi-Monte Carlo methods with applications in finance
- Weighted compound integration rules with higher order convergence for all \(N\)
- Quasi-Monte Carlo methods for linear two-stage stochastic programming problems
- Some results on the complexity of numerical integration
- Lattice rules with random \(n\) achieve nearly the optimal \(\mathcal{O}(n^{-\alpha-1/2})\) error independently of the dimension
- Constrained minimum energy designs
- QMC integration for lognormal-parametric, elliptic PDEs: local supports and product weights
- Construction of interlaced scrambled polynomial lattice rules of arbitrary high order
- Multilevel Quasi-Monte Carlo Uncertainty Quantification for Advection-Diffusion-Reaction
- Component-By-Component Construction of Good Intermediate-Rank Lattice Rules
- Constructing lattice rules based on weighted degree of exactness and worst case error
- Lattice-based integration algorithms: Kronecker sequences and rank-1 lattices
- Collider physics at the precision frontier
- Stability of lattice rules and polynomial lattice rules constructed by the component-by-component algorithm
- A component-by-component construction for the trigonometric degree
- QMC computation of confidence intervals for a sleep performance model
- Model-free global likelihood subsampling for massive data
- Ian Sloan and Lattice Rules
- Support points
- Effective dimension of some weighted pre-Sobolev spaces with dominating mixed partial derivatives
- Computation of the distribution of the maximum of stationary Gaussian processes
- Hiding the weights -- CBC black box algorithms with a guaranteed error bound
- Numerical scattering amplitudes with pySecDec
- Transformed rank-1 lattices for high-dimensional approximation
- A Tool for Custom Construction of QMC and RQMC Point Sets
- Construction schemes for weighted lattice rules
- Quasi-Monte Carlo methods for two-stage stochastic mixed-integer programs
- Fast construction of higher order digital nets for numerical integration in weighted Sobolev spaces
- Embeddings of weighted Hilbert spaces and applications to multivariate and infinite-dimensional integration
- Numerical computation of multivariate normal probabilities using bivariate conditioning
- Lattice algorithms for multivariate approximation in periodic spaces with general weight parameters
- Medium-term power planning in electricity markets with pool and bilateral contracts
- Fast component-by-component construction of lattice algorithms for multivariate approximation with POD and SPOD weights
- Are quasi-Monte Carlo algorithms efficient for two-stage stochastic programs?
- Weighted integration over a hyperrectangle based on digital nets and sequences
- Uncertainty Quantification Using Periodic Random Variables
- Random geometries for optimal control PDE problems based on fictitious domain FEMs and cut elements
- Sensitivity analysis of an air pollution model with using innovative Monte Carlo methods in calculating multidimensional integrals
- Extrapolated polynomial lattice rule integration in computational uncertainty quantification
- Random-prime-fixed-vector randomised lattice-based algorithm for high-dimensional integration
- Design and monitoring of multi-arm multi-stage clinical trials
- Construction-free median quasi-Monte Carlo rules for function spaces with unspecified smoothness and general weights
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