Variable Subspace Sampling and Multi-level Algorithms
From MaRDI portal
Publication:3405430
DOI10.1007/978-3-642-04107-5_8zbMath1184.65007MaRDI QIDQ3405430
Klaus Ritter, Thomas Müller-Gronbach
Publication date: 15 February 2010
Published in: Monte Carlo and Quasi-Monte Carlo Methods 2008 (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-642-04107-5_8
numerical integration; diffusion processes; quadrature; randomized algorithms; Gaussian measures; Kolmogorov widths; Lipschitz functionals; variable subspace sampling; multi-level Monte Carlo algorithms; quantization numbers
65C05: Monte Carlo methods
Related Items
A multilevel Monte Carlo algorithm for Lévy-driven stochastic differential equations, Multi-level Monte Carlo algorithms for infinite-dimensional integration on \(\mathbb R^{\mathbb N}\), Parameter estimation of fiber lay-down in nonwoven production: an occupation time approach, Explicit error bounds for randomized Smolyak algorithms and an application to infinite-dimensional integration, From Rough Path Estimates to Multilevel Monte Carlo, Infinite-dimensional integration on weighted Hilbert spaces