Sparse quadrature for high-dimensional integration with Gaussian measure
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Publication:4961188
DOI10.1051/m2an/2018012OpenAlexW2963494703MaRDI QIDQ4961188
Publication date: 26 October 2018
Published in: ESAIM: Mathematical Modelling and Numerical Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1604.08466
convergence analysissparse gridscurse of dimensionalityGaussian measureuncertainty quantificationhigh-dimensional integrationa posteriori constructiona priori construction
Probabilistic models, generic numerical methods in probability and statistics (65C20) Error bounds for boundary value problems involving PDEs (65N15) Stability and convergence of numerical methods for boundary value problems involving PDEs (65N12) Numerical quadrature and cubature formulas (65D32) Numerical integration (65D30) Numerical methods for inverse problems for boundary value problems involving PDEs (65N21)
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