Efficient implementations of the multivariate decomposition method for approximating infinite-variate integrals

DOI10.1137/17M1161890MaRDI QIDQ4685339zbMATH OpenOpenAlexWikidataFDO

Authors Alexander D. Gilbert, F. Y. Kuo, Dirk Nuyens, Grzegorz W. Wasilkowski

Publication date 8 October 2018

Published in SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1712.06782

zbMATH Keywords

quasi-Monte Carloquadraturesparse gridsSmolyak's methodmultivariate decomposition methodinfinite-variate integral

Mathematics Subject Classification ID

Numerical integration (65D30)

Abstract: In this paper we focus on efficient implementations of the Multivariate Decomposition Method (MDM) for approximating integrals of $infty$-variate functions. Such $infty$-variate integrals occur for example as expectations in uncertainty quantification. Starting with the anchored decomposition $f=su{m}_{mathfrakusubsetmathbbN}{f}_{m}athfraku$, where the sum is over all finite subsets of $mathbbN$ and each $f_{m}athfraku$ depends only on the variables $x_j$ with $jinmathfraku$, our MDM algorithm approximates the integral of $f$ by first truncating the sum to some `active set' and then approximating the integral of the remaining functions $f_{m}athfraku$ term-by-term using Smolyak or (randomized) quasi-Monte Carlo (QMC) quadratures. The anchored decomposition allows us to compute $f_{m}athfraku$ explicitly by function evaluations of $f$. Given the specification of the active set and theoretically derived parameters of the quadrature rules, we exploit structures in both the formula for computing $f_{m}athfraku$ and the quadrature rules to develop computationally efficient strategies to implement the MDM in various scenarios. In particular, we avoid repeated function evaluations at the same point. We provide numerical results for a test function to demonstrate the effectiveness of the algorithm.

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Cited in

(8)

• MDFEM: multivariate decomposition finite element method for elliptic PDEs with lognormal diffusion coefficients using higher-order QMC and FEM
• Approximation of high-dimensional periodic functions with Fourier-based methods
• Embeddings for infinite-dimensional integration and \(L_2\)-approximation with increasing smoothness
• Countable tensor products of Hermite spaces and spaces of Gaussian kernels
• Grouped transformations and regularization in high-dimensional explainable ANOVA approximation
• Efficient algorithms for multivariate and \(\infty\)-variate integration with exponential weight
• MDFEM: multivariate decomposition finite element method for elliptic PDEs with uniform random diffusion coefficients using higher-order QMC and FEM
• Infinite-dimensional integration and the multivariate decomposition method

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