Randomized sparse grid algorithms for multivariate integration on Haar wavelet spaces

DOI10.1093/IMANUM/DRAB085MaRDI QIDQ5879396zbMATH OpenOpenAlexFDO

Authors M. Wnuk, Michael Gnewuch

Publication date 1 March 2023

Published in IMA Journal of Numerical Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2001.08558

zbMATH Keywords

randomized algorithmsquasi-Monte Carlomultivariate integrationSmolyak algorithm\((0, m, s)\)-netsHaar function spaces

Mathematics Subject Classification ID

Numerical integration (65D30) Numerical methods for wavelets (65T60)

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Cited in

(5)

• The rate of convergence of sparse grid quadrature on the torus
• Sparsified randomization algorithms for low rank approximations and applications to integral equations and inhomogeneous random field simulation
• Optimal quadrature for Haar wavelet spaces
• Explicit error bounds for randomized Smolyak algorithms and an application to infinite-dimensional integration
• Randomized sparse grid algorithms for multivariate integration on Haar-Wavelet spaces

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