Sparse Quadrature for High-Dimensional Integration with Gaussian Measure
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Publication:6272986
Probabilistic models, generic numerical methods in probability and statistics (65C20) Numerical integration (65D30) Numerical quadrature and cubature formulas (65D32) Numerical methods for inverse problems for boundary value problems involving PDEs (65N21) Stability and convergence of numerical methods for boundary value problems involving PDEs (65N12) Error bounds for boundary value problems involving PDEs (65N15)
Abstract: In this work we analyze the dimension-independent convergence property of an abstract sparse quadrature scheme for numerical integration of functions of high-dimensional parameters with Gaussian measure. Under certain assumptions of the exactness and the boundedness of univariate quadrature rules as well as the regularity of the parametric functions with respect to the parameters, we obtain the convergence rate , where is the number of indices, and is independent of the number of the parameter dimensions. Moreover, we propose both an a-priori and an a-posteriori schemes for the construction of a practical sparse quadrature rule and perform numerical experiments to demonstrate their dimension-independent convergence rates.
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