High dimensional integration of kinks and jumps -- smoothing by preintegration

DOI10.1016/j.cam.2018.04.009zbMath1460.65023arXiv1712.00920OpenAlexW2963818518MaRDI QIDQ724506

Ian H. Sloan, Hernan Leövey, Frances Y. Kuo, Andreas Griewank

Publication date: 26 July 2018

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1712.00920

zbMATH Keywords

smoothingANOVA decompositionhigh-dimensional integrationquasi Monte Carloconditional samplingpreintegration

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Multidimensional problems (41A63) Numerical integration (65D30)

Related Items

Analysis of Preintegration Followed by Quasi–Monte Carlo Integration for Distribution Functions and Densities, Preintegration via Active Subspace, Equivalence between Sobolev spaces of first-order dominating mixed smoothness and unanchored ANOVA spaces on ℝ^{𝕕}, Mean Dimension of Ridge Functions, Numerical smoothing with hierarchical adaptive sparse grids and quasi-Monte Carlo methods for efficient option pricing, Randomized QMC Methods for Mixed-Integer Two-Stage Stochastic Programs with Application to Electricity Optimization, On the Error Rate of Conditional Quasi--Monte Carlo for Discontinuous Functions, Quasi-Monte Carlo methods for two-stage stochastic mixed-integer programs, Quasi-Monte Carlo-based conditional pathwise method for option Greeks, A Strong Law of Large Numbers for Scrambled Net Integration, Efficient Importance Sampling in Quasi-Monte Carlo Methods for Computational Finance

Uses Software

• sobol.cc

Cites Work

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