Infinite-dimensional integration in weighted Hilbert spaces: anchored decompositions, optimal deterministic algorithms, and higher-order convergence
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Publication:486680
DOI10.1007/s10208-014-9198-8zbMath1312.65002arXiv1210.4223MaRDI QIDQ486680
Publication date: 16 January 2015
Published in: Foundations of Computational Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1210.4223
convergence; numerical example; numerical integration; reproducing kernel Hilbert spaces; error bound; multilevel algorithms; quasi-Monte Carlo methods; path integration; polynomial lattice rules; changing-dimension algorithms
65C05: Monte Carlo methods
46E22: Hilbert spaces with reproducing kernels (= (proper) functional Hilbert spaces, including de Branges-Rovnyak and other structured spaces)
11K38: Irregularities of distribution, discrepancy
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