High-dimensional integration: The quasi-Monte Carlo way
From MaRDI portal
Publication:5419636
DOI10.1017/S0962492913000044zbMath1296.65004MaRDI QIDQ5419636
Josef Dick, Frances Y. Kuo, Ian H. Sloan
Publication date: 11 June 2014
Published in: Acta Numerica (Search for Journal in Brave)
latticeweighted function spacesdiscrepancydigital netshigh-dimensional integrationreproducing Hilbert spacesquasi-Monte Carlo (QMC)
Monte Carlo methods (65C05) Hilbert spaces with reproducing kernels (= (proper) functional Hilbert spaces, including de Branges-Rovnyak and other structured spaces) (46E22) Irregularities of distribution, discrepancy (11K38) Pseudo-random numbers; Monte Carlo methods (11K45)
Related Items
Adaptive two-layer ReLU neural network. I: Best least-squares approximation, A new scalable algorithm for computational optimal control under uncertainty, Subsampling bias and the best-discrepancy systematic cross validation, Very low truncation dimension for high dimensional integration under modest error demand, Lattice meets lattice: application of lattice cubature to models in lattice gauge theory, Stable high-order cubature formulas for experimental data, An offline/online algorithm for a class of stochastic multiple obstacle scattering configurations in the half-plane, Random geometries for optimal control PDE problems based on fictitious domain FEMs and cut elements, On the efficient numerical solution of lattice systems with low-order couplings, A note on concatenation of quasi-Monte Carlo and plain Monte Carlo rules in high dimensions, Quasi-Monte Carlo point sets with small \(t\)-values and WAFOM, Sparse high-dimensional FFT based on rank-1 lattice sampling, On generation and enumeration of orthogonal Chebyshev-Frolov lattices, On combined component-by-component constructions of lattice point sets, Component-by-component digit-by-digit construction of good polynomial lattice rules in weighted Walsh spaces, Tractability of \(\mathbb{L}_2\)-approximation in hybrid function spaces, Monte Carlo with determinantal point processes, Construction of scrambled polynomial lattice rules over \(\mathbb{F}_{2}\) with small mean square weighted \(\mathcal{L}_{2}\) discrepancy, Romberg extrapolation for Euler summation-based cubature on regular regions, On a projection-corrected component-by-component construction, On the convergence of the Laplace approximation and noise-level-robustness of Laplace-based Monte Carlo methods for Bayesian inverse problems, From van der Corput to modern constructions of sequences for quasi-Monte Carlo rules, Stability of lattice rules and polynomial lattice rules constructed by the component-by-component algorithm, Numerical integration in log-Korobov and log-cosine spaces, Higher order quasi-Monte Carlo integration for Bayesian PDE inversion, Multiple rank-1 lattices as sampling schemes for multivariate trigonometric polynomials, The numerical approximation of nonlinear functionals and functional differential equations, An ultra-sparse approximation of kinetic solutions to spatially homogeneous flows of non-continuum gas, QMC integration for lognormal-parametric, elliptic PDEs: local supports and product weights, Taylor approximation and variance reduction for PDE-constrained optimal control under uncertainty, Constructing lattice points for numerical integration by a reduced fast successive coordinate search algorithm, A reduced fast component-by-component construction of lattice points for integration in weighted spaces with fast decreasing weights, Lattice rules in non-periodic subspaces of Sobolev spaces, Dynamically orthogonal tensor methods for high-dimensional nonlinear PDEs, An efficient multi-level high-order algorithm for simulation of a class of Allen-Cahn stochastic systems, Lattice rules with random \(n\) achieve nearly the optimal \(\mathcal{O}(n^{-\alpha-1/2})\) error independently of the dimension, Collider physics at the precision frontier, Covering of spheres by spherical caps and worst-case error for equal weight cubature in Sobolev spaces, Constrained Bayesian optimization with noisy experiments, Digit-by-digit and component-by-component constructions of lattice rules for periodic functions with unknown smoothness, Quasi-Monte Carlo finite element methods for elliptic PDEs with lognormal random coefficients, Quasi-Monte Carlo methods for two-stage stochastic mixed-integer programs, Copula theory and probabilistic sensitivity analysis: is there a connection?, Generalized Langevin equations for systems with local interactions, Tensor trains and moment conservation for multivariate aggregation in population balance modeling, Projection methods for stochastic dynamic systems: a frequency domain approach, Discrepancy bounds for a class of negatively dependent random points including Latin hypercube samples, Application of quasi-Monte Carlo methods to elliptic PDEs with random diffusion coefficients: a survey of analysis and implementation, Methods for estimating the global maximum point and the integral of a continuous function on a compact set, Worst-case recovery guarantees for least squares approximation using random samples, Support points, Efficient multivariate approximation on the cube, Construction of quasi-Monte Carlo rules for multivariate integration in spaces of permutation-invariant functions, A note on Korobov lattice rules for integration of analytic functions, Hiding the weights -- CBC black box algorithms with a guaranteed error bound, Tractability results for the weighted star-discrepancy, Fast CBC construction of randomly shifted lattice rules achieving \(\mathcal{O}(n^{- 1 + \delta})\) convergence for unbounded integrands over \(\mathbb{R}^s\) in weighted spaces with POD weights, Analysis and computation of the elastic wave equation with random coefficients, Infinite-dimensional integration and the multivariate decomposition method, Optimal randomized changing dimension algorithms for infinite-dimensional integration on function spaces with ANOVA-type decomposition, Weighted integration over a hyperrectangle based on digital nets and sequences, Embeddings for infinite-dimensional integration and \(L_2\)-approximation with increasing smoothness, Stabilizing radial basis function methods for conservation laws using weakly enforced boundary conditions, Tight framelets and fast framelet filter bank transforms on manifolds, High dimensional integration of kinks and jumps -- smoothing by preintegration, On the dependence structure and quality of scrambled \((t,m,s)\)-nets, Lower bounds for the error of quadrature formulas for Hilbert spaces, Convergence analysis of deterministic kernel-based quadrature rules in misspecified settings, Approximating multiple integrals of continuous functions by \(\delta \)-uniform curves, Monte Carlo cubature construction, Tensor-train numerical integration of multivariate functions with singularities, MDFEM: multivariate decomposition finite element method for elliptic PDEs with uniform random diffusion coefficients using higher-order QMC and FEM, Fast automatic Bayesian cubature using lattice sampling, Approximation and sampling of multivariate probability distributions in the tensor train decomposition, Transformed rank-1 lattices for high-dimensional approximation, A note on isotropic discrepancy and spectral test of lattice point sets, \textit{A posteriori} error estimation for the steady Navier-Stokes equations in random domains, Analysis of quasi-Monte Carlo methods for elliptic eigenvalue problems with stochastic coefficients, Product-form estimators: exploiting independence to scale up Monte Carlo, Monte Carlo integration of non-differentiable functions on \([0,1^\iota\), \(\iota =1,\ldots, d\), using a single determinantal point pattern defined on \([0,1]^d\)], Stable high-order randomized cubature formulae in arbitrary dimension, Approximation of multivariate periodic functions based on sampling along multiple rank-1 lattices, Quasi-Monte Carlo methods applied to tau-leaping in stochastic biological systems, Probabilistic integration: a role in statistical computation?, Comment on ``Probabilistic integration: a role in statistical computation?, Distribution-free and model-free multivariate feature screening via multivariate rank distance correlation, Asymptotic normality of extensible grid sampling, Scalable logistic regression with crossed random effects, Full-color three-loop three-point form factors in \(\mathcal{N} = 4\) SYM, Reduced-order modeling via proper generalized decomposition for uncertainty quantification of frequency response functions, Deep composition of tensor-trains using squared inverse Rosenblatt transports, Proof techniques in quasi-Monte Carlo theory, Integration in Hermite spaces of analytic functions, Approximation of multivariate periodic functions by trigonometric polynomials based on sampling along rank-1 lattice with generating vector of Korobov form, Analysis of discrete least squares on multivariate polynomial spaces with evaluations at low-discrepancy point sets, Approximation of multivariate periodic functions by trigonometric polynomials based on rank-1 lattice sampling, Quasi-Monte Carlo methods for linear two-stage stochastic programming problems, High-dimensional reliability analysis based on the improved number-theoretical method, Sequential support points, Problem-based optimal scenario generation and reduction in stochastic programming, Generalized maximum entropy estimation, Scaled lattice rules for integration on â^{đ} achieving higher-order convergence with error analysis in terms of orthogonal projections onto periodic spaces, Are quasi-Monte Carlo algorithms efficient for two-stage stochastic programs?, A new algorithm for high-dimensional uncertainty quantification based on dimension-adaptive sparse grid approximation and reduced basis methods, Population Quasi-Monte Carlo, On an extended Filon method for highly oscillatory integrals over a simplex, A Posteriori Error Estimation for the Stochastic Collocation Finite Element Method, Smoothing the payoff for efficient computation of Basket option prices, Kernel-Based Discretization for Solving Matrix-Valued PDEs, On the Choice of Weights in a Function Space for Quasi-Monte Carlo Methods for a Class of Generalised Response Models in Statistics, Robust stability optimization for linear delay systems in a probabilistic framework, Equivalence between Sobolev spaces of first-order dominating mixed smoothness and unanchored ANOVA spaces on â^{đ}, Towards stable radial basis function methods for linear advection problems, High-dimensional sparse FFT based on sampling along multiple rank-1 lattices, Embeddings of weighted Hilbert spaces and applications to multivariate and infinite-dimensional integration, Note on pairwise negative dependence of randomly shifted and jittered rank-1 lattices, Construction of good polynomial lattice rules in weighted Walsh spaces by an alternative component-by-component construction, Multivariate quadrature rules on crosslet sparse grids, Extrapolated Polynomial Lattice Rule Integration in Computational Uncertainty Quantification, Probabilistic failure mechanisms via Monte Carlo simulations of complex microstructures, The power of online thinning in reducing discrepancy, Comparison of Sobol' sequences in financial applications, Construction-Free Median Quasi-Monte Carlo Rules for Function Spaces with Unspecified Smoothness and General Weights, Component-by-component construction of randomized rank-1 lattice rules achieving almost the optimal randomized error rate, The cardiovascular system: Mathematical modelling, numerical algorithms and clinical applications, Some Results on the Complexity of Numerical Integration, Adaptive Multidimensional Integration Based on Rank-1 Lattices, Towards stability results for global radial basis function based quadrature formulas, The nonzero gain coefficients of Sobol's sequences are always powers of two, Quasi--Monte Carlo Integration for Affine-Parametric, Elliptic PDEs: Local Supports and Product Weights, Deterministic and stochastic phase-field modeling of anisotropic brittle fracture, A note on the CBC-DBD construction of lattice rules with general positive weights, Improved bounds on the gain coefficients for digital nets in prime power base, Multilevel Quasi-Monte Carlo Uncertainty Quantification for Advection-Diffusion-Reaction, Discrepancy of Digital Sequences: New Results on a Classical QMC Topic, Constructing QMC Finite Element Methods for Elliptic PDEs with Random Coefficients by a Reduced CBC Construction, Randomized QMC Methods for Mixed-Integer Two-Stage Stochastic Programs with Application to Electricity Optimization, QMC Sampling from Empirical Datasets, Convergence rates of high dimensional Smolyak quadrature, Bounding the Spectral Gap for an Elliptic Eigenvalue Problem with Uniformly Bounded Stochastic Coefficients, Worst-Case Error for Unshifted Lattice Rules Without Randomisation, Numerical methods for the deterministic second moment equation of parabolic stochastic PDEs, The ANOVA decomposition of a non-smooth function of infinitely many variables can have every term smooth, A GPU compatible quasi-Monte Carlo integrator interfaced to pySecDec, Parallel cross interpolation for high-precision calculation of high-dimensional integrals, Uniform decomposition of probability measures: quantization, clustering and rate of convergence, Uncertainty Quantification for Low-Frequency, Time-Harmonic Maxwell Equations with Stochastic Conductivity Models, Probabilistic Lower Bounds for the Discrepancy of Latin Hypercube Samples, Multilevel QMC with Product Weights for Affine-Parametric, Elliptic PDEs, Modern Monte Carlo Variants for Uncertainty Quantification in Neutron Transport, Adaptive Quasi-Monte Carlo Methods for Cubature, Ian Sloan and Lattice Rules, The Analysis of Vertex Modified Lattice Rules in a Non-periodic Sobolev Space, Analysis of Framelet Transforms on a Simplex, Optimal Points for Cubature Rules and Polynomial Interpolation on a Square, Convergence analysis of quasi-Monte Carlo sampling for quantile and expected shortfall, Generic Consistency for Approximate Stochastic Programming and Statistical Problems, Numerical integration of Hölder continuous, absolutely convergent Fourier, Fourier cosine, and Walsh series, On weak tractability of the Clenshaw-Curtis Smolyak algorithm, A Multiscale Reduced Basis Method for the Schrödinger Equation With Multiscale and Random Potentials, Discrepancy bounds for deterministic acceptance-rejection samplers, Simulated maximum likelihood estimation in joint models for multiple longitudinal markers and recurrent events of multiple types, in the presence of a terminal event, Effective Dimension of Some Weighted Pre-Sobolev Spaces with Dominating Mixed Partial Derivatives, A Higher Order Perturbation Approach for Electromagnetic Scattering Problems on Random Domains, Fast component-by-component construction of lattice algorithms for multivariate approximation with POD and SPOD weights, Cubature Formulas for Multisymmetric Functions and Applications to Stochastic Partial Differential Equations, Reduced Basis Methods for Uncertainty Quantification, Optimality and Regularization Properties of Quasi-Interpolation: Deterministic and Stochastic Approaches, Quasi-Monte Carlo Finite Element Analysis for Wave Propagation in Heterogeneous Random Media, Sparse-grid polynomial interpolation approximation and integration for parametric and stochastic elliptic PDEs with lognormal inputs, Approximation of High-Dimensional Periodic Functions with Fourier-Based Methods, Richardson Extrapolation of Polynomial Lattice Rules, Unnamed Item, Analysis and Application of Single Level, Multi-Level Monte Carlo and Quasi-Monte Carlo Finite Element Methods for Time-Dependent Maxwell's Equations with Random Inputs, Deep Nitsche Method: Deep Ritz Method with Essential Boundary Conditions, Efficient Implementations of the Multivariate Decomposition Method for Approximating Infinite-Variate Integrals, Quasi-Monte Carlo tractability of integration problem in function spaces defined over products of balls, Unbiased Estimators and Multilevel Monte Carlo, Negative Dependence, Scrambled Nets, and Variance Bounds, Multilevel Higher Order QMC Petrov--Galerkin Discretization for Affine Parametric Operator Equations, Multilevel quasi-Monte Carlo integration with product weights for elliptic PDEs with lognormal coefficients, Improving Approximate Bayesian Computation via Quasi-Monte Carlo, Robust Optimization of PDEs with Random Coefficients Using a Multilevel Monte Carlo Method, Quasi-Monte Carlo Bayesian estimation under Besov priors in elliptic inverse problems, Unnamed Item, A Strong Law of Large Numbers for Scrambled Net Integration, Recycling Samples in the Multigrid Multilevel (Quasi-)Monte Carlo Method, Convergence Analysis of Machine Learning Algorithms for the Numerical Solution of Mean Field Control and Games I: The Ergodic Case, Lattice algorithms for multivariate approximation in periodic spaces with general weight parameters, Enhancing Accuracy of Deep Learning Algorithms by Training with Low-Discrepancy Sequences, Fast QMC Matrix-Vector Multiplication, Multilevel Quasi Monte Carlo Methods for Elliptic PDEs with Random Field Coefficients via Fast White Noise Sampling, Unnamed Item, A High Performance Computing and Sensitivity Analysis Algorithm for Stochastic Many-Particle Wave Scattering, Higher-Order Quasi-Monte Carlo Training of Deep Neural Networks, Multi-level Monte Carlo Finite Volume Methods for Uncertainty Quantification in Nonlinear Systems of Balance Laws, Fast construction of higher order digital nets for numerical integration in weighted Sobolev spaces, Multi-level quasi-Monte Carlo finite element methods for a class of elliptic PDEs with random coefficients, Exactness of Quadrature Formulas, Quasi-Monte Carlo and Multilevel Monte Carlo Methods for Computing Posterior Expectations in Elliptic Inverse Problems, Analysis of Preintegration Followed by QuasiâMonte Carlo Integration for Distribution Functions and Densities, Computing quantum dynamics in the semiclassical regime, Cubature, Approximation, and Isotropy in the Hypercube, Semi-discrete optimal transport: hardness, regularization and numerical solution, Multi-dimensional summation-by-parts operators for general function spaces: theory and construction, Polynomial tractability for integration in an unweighted function space with absolutely convergent Fourier series, A mathematical perspective of machine learning, The fast reduced QMC matrix-vector product, HODLR\(d\)D: a new black-box fast algorithm for \(N\)-body problems in \(d\)-dimensions with guaranteed error bounds. Applications to integral equations and support vector machines, Error Estimate of a Quasi-Monte Carlo Time-Splitting Pseudospectral Method for Nonlinear Schrödinger Equation with Random Potentials, Projective Integral Updates for High-Dimensional Variational Inference, Stacking Designs: Designing Multifidelity Computer Experiments with Target Predictive Accuracy, On the reconstruction of functions from values at subsampled quadrature points, Numerical scattering amplitudes with pySecDec, Bypassing the quadrature exactness assumption of hyperinterpolation on the sphere, Stochastic configuration networks for multi-dimensional integral evaluation, Quasi-Monte Carlo Software, Suboptimality of GaussâHermite Quadrature and Optimality of the Trapezoidal Rule for Functions with Finite Smoothness, Numerical smoothing with hierarchical adaptive sparse grids and quasi-Monte Carlo methods for efficient option pricing, The Mori-Zwanzig formulation of deep learning, Numerical weighted integration of functions having mixed smoothness, On a reduced component-by-component digit-by-digit construction of lattice point sets, Approximation of integration over finite groups, difference sets and association schemes, Analyticity of parametric elliptic eigenvalue problems and applications to quasi-Monte Carlo methods, A Universal Median Quasi-Monte Carlo Integration, Lattice enumeration via linear programming, Expected integration approximation under general equal measure partition, Stochastic Collocation vial1-Minimisation on Low Discrepancy Point Sets with Application to Uncertainty Quantification, A Multi-Index Quasi--Monte Carlo Algorithm for Lognormal Diffusion Problems, Handling Discontinuities in Financial Engineering: Good Path Simulation and Smoothing, Hyperbolic cross approximation in infinite dimensions, Open type quasi-Monte Carlo integration based on Halton sequences in weighted Sobolev spaces, Reconstruction and collocation of a class of non-periodic functions by sampling along tent-transformed rank-1 lattices, Rank-1 lattice rules for multivariate integration in spaces of permutation-invariant functions. Error bounds and tractability, On quasi-Monte Carlo methods in weighted ANOVA spaces, Digital inversive vectors can achieve polynomial tractability for the weighted star discrepancy and for multivariate integration, Multilevel Quasi-Monte Carlo methods for lognormal diffusion problems
Uses Software