Optimal Randomized Multilevel Algorithms for Infinite-Dimensional Integration on Function Spaces with ANOVA-Type Decomposition

DOI10.1137/120896001zbMath1318.65002arXiv1209.0882OpenAlexW3101643397MaRDI QIDQ5254131

Publication date: 9 June 2015

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1209.0882

zbMATH Keywords

numerical integration reproducing kernel Hilbert spaces error bound multilevel algorithms ANOVA decomposition randomized algorithms quasi-Monte Carlo multilevel algorithms scrambled polynomial lattice rules

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Multidimensional problems (41A63) Approximate quadratures (41A55) Numerical quadrature and cubature formulas (65D32) Irregularities of distribution, discrepancy (11K38)

Related Items (25)

Dynamic tensor approximation of high-dimensional nonlinear PDEs ⋮ Countable tensor products of Hermite spaces and spaces of Gaussian kernels ⋮ Embeddings of weighted Hilbert spaces and applications to multivariate and infinite-dimensional integration ⋮ Grouped Transformations and Regularization in High-Dimensional Explainable ANOVA Approximation ⋮ Learning multivariate functions with low-dimensional structures using polynomial bases ⋮ Implicit integration of nonlinear evolution equations on tensor manifolds ⋮ On equivalence of weighted anchored and ANOVA spaces of functions with mixed smoothness of order one in \(L_1\) or \(L_\infty\) ⋮ Some Results on the Complexity of Numerical Integration ⋮ The ANOVA decomposition of a non-smooth function of infinitely many variables can have every term smooth ⋮ The numerical approximation of nonlinear functionals and functional differential equations ⋮ On tractability of linear tensor product problems for \(\infty \)-variate classes of functions ⋮ On weighted Hilbert spaces and integration of functions of infinitely many variables ⋮ Tractability of approximation of \(\infty\)-variate functions with bounded mixed partial derivatives ⋮ Efficient algorithms for multivariate and \(\infty\)-variate integration with exponential weight ⋮ Dynamically orthogonal tensor methods for high-dimensional nonlinear PDEs ⋮ Infinite-dimensional integration in weighted Hilbert spaces: anchored decompositions, optimal deterministic algorithms, and higher-order convergence ⋮ Approximation of High-Dimensional Periodic Functions with Fourier-Based Methods ⋮ Infinite-dimensional integration and the multivariate decomposition method ⋮ Optimal randomized changing dimension algorithms for infinite-dimensional integration on function spaces with ANOVA-type decomposition ⋮ Embeddings for infinite-dimensional integration and \(L_2\)-approximation with increasing smoothness ⋮ Hyperbolic cross approximation in infinite dimensions ⋮ A generalized Faulhaber inequality, improved bracketing covers, and applications to discrepancy ⋮ Explicit error bounds for randomized Smolyak algorithms and an application to infinite-dimensional integration ⋮ Rank-adaptive tensor methods for high-dimensional nonlinear PDEs ⋮ Stability analysis of hierarchical tensor methods for time-dependent PDEs

This page was built for publication: Optimal Randomized Multilevel Algorithms for Infinite-Dimensional Integration on Function Spaces with ANOVA-Type Decomposition