A fast multilevel dimension iteration algorithm for high dimensional numerical integration

DOI10.4310/AMSA.2023.V8.N3.A2arXiv2210.13658OpenAlexW4388676602MaRDI QIDQ6190850FDOQ6190850

Huicong Zhong, Xiaobing Feng

Publication date: 6 February 2024

Published in: Annals of Mathematical Sciences and Applications (Search for Journal in Brave)

Abstract: In this paper, we propose and study a fast multilevel dimension iteration (MDI) algorithm for computing arbitrary $d$-dimensional integrals based on tensor product approximations. It reduces the computational complexity (in terms of the CPU time) of a tensor product method from the exponential order $O(N^d)$ to the polynomial order {color{black} $O(d^3{N}^2)$ or better}, where $N$ stands for the number of quadrature points in each coordinate direction. As a result, the proposed MDI algorithm effectively circumvents the curse of the dimensionality of tensor product methods for high dimensional numerical integration. The main idea of the proposed MDI algorithm is to compute the function evaluations at all integration points in the cluster and iteratively along each coordinate direction, so lots of computations for function evaluations can be reused in each iteration. This idea is also applicable to any quadrature rule whose integration points have a lattice-like structure.

Full work available at URL: https://arxiv.org/abs/2210.13658

zbMATH Keywords

Monte Carlo methodshigh-dimensional integrationnumerical quadrature rulestensor product methodsmultilevel dimension iteration (MDI)

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical integration (65D30) Numerical approximation of high-dimensional functions; sparse grids (65D40)

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