Cubature formulas for multisymmetric functions and applications to stochastic partial differential equations

DOI10.1137/17M1125418MaRDI QIDQ4636372zbMATH OpenFDO

Authors Clemens Heitzinger, Gudmund Pammer, Stefan Rigger

Publication date 19 April 2018

Published in SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

zbMATH Keywords

stochastic partial differential equationmultivariate integrationquadrature and cubature formulasmultisymmetric polynomialspermutation-invariance

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical integration (65D30) Applications of commutative algebra (e.g., to statistics, control theory, optimization, etc.) (13P25) Invariance and symmetry properties for PDEs on manifolds (58J70) Function spaces in general topology (54C35)

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Cites work

• scientific article; zbMATH DE number 5297089 (Why is no real title available?)
• scientific article; zbMATH DE number 3591295 (Why is no real title available?)
• scientific article; zbMATH DE number 3081640 (Why is no real title available?)
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• A minimal set of generators for the ring of multisymmetric functions
• Algorithm 659
• An encyclopaedia of cubature formulas.
• Construction of quasi-Monte Carlo rules for multivariate integration in spaces of permutation-invariant functions
• Dimension-adaptive tensor-product quadrature
• Gaussian cubature: a practitioner's guide
• High-dimensional integration: The quasi-Monte Carlo way
• Iteration-free computation of Gauss-Legendre quadrature nodes and weights
• Latin supercube sampling for very high-dimensional simulations
• Multivariate simultaneous approximation
• On lower bounds for integration of multivariate permutation-invariant functions
• Product rules are optimal for numerical integration in classical smoothness spaces
• Rank-1 lattice rules for multivariate integration in spaces of permutation-invariant functions. Error bounds and tractability
• Remark on algorithm 659
• The complexity of linear tensor product problems in (anti)symmetric Hilbert spaces
• The curse of dimensionality for numerical integration of smooth functions
• The ring of multisymmetric functions.
• Walsh Spaces Containing Smooth Functions and Quasi–Monte Carlo Rules of Arbitrary High Order

Cited in

(5)

• Existence, uniqueness, and a comparison of nonintrusive methods for the stochastic nonlinear Poisson-Boltzmann equation
• Infinite-dimensional polynomial processes
• Cubature Method for Stochastic Volterra Integral Equations
• Symmetry exploits for Bayesian cubature methods
• Cubification of \(\sigma \pi \)-SDE and exact moment equations

Describes a project that uses

Uses Software

• sobol.cc
• TESTPACK
• TOMS659

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