Randomly shifted lattice rules for unbounded integrands

DOI10.1016/J.JCO.2006.04.006zbMATH Open1112.65003OpenAlexW2030336883MaRDI QIDQ855892FDOQ855892

Grzegorz W. Wasilkowski, Benjamin J. Waterhouse, F. Y. Kuo

Publication date: 7 December 2006

Published in: Journal of Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jco.2006.04.006

zbMATH Keywords

quasi-Monte Carlo methodsreproducing kernel Hilbert spacesworst case errormultivariate integrationrandomly shifted lattice rulesmean square worst case error for randomly shifted rank-1 lattice rulesunbounded integrals

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical methods (including Monte Carlo methods) (91G60) Numerical integration (65D30) Hilbert spaces with reproducing kernels (= (proper) functional Hilbert spaces, including de Branges-Rovnyak and other structured spaces) (46E22)

Cites Work

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• Constructing Randomly Shifted Lattice Rules in Weighted Sobolev Spaces
• The effective dimension and quasi-Monte Carlo integration
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• Variance Reduction via Lattice Rules
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• Complexity of weighted approximation over \(\mathbb{R}^d\)
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• Complexity of weighted approximation over \(\mathbb{R}\)
• Why Are High-Dimensional Finance Problems Often of Low Effective Dimension?
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• On irregularities of distribution, IV
• On selection criteria for lattice rules and other quasi-Monte Carlo point sets
• On tractability of weighted integration over bounded and unbounded regions in ℝ^{𝕤}
• Randomized Polynomial Lattice Rules for Multivariate Integration and Simulation
• A Piecewise Constant Algorithm for WeightedL₁Approximation over Bounded or Unbounded Regions in $\R^s$
• A new optimal algorithm for weighted approximation and integration over R
• Worst case complexity of weighted approximation and integration over \(\mathbb{R}^d\)
• Randomly shifted lattice rules on the unit cube for unbounded integrands in high dimensions
• Component-By-Component Construction of Good Intermediate-Rank Lattice Rules
• Quasi-Monte Carlo for highly structured generalised response models

Cited In (20)

• 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
• Some Results on the Complexity of Numerical Integration
• Transformed rank-1 lattices for high-dimensional approximation
• On the quasi-Monte Carlo method with Halton points for elliptic PDEs with log-normal diffusion
• Quasi-Monte Carlo for highly structured generalised response models
• Shifted lattice rules based on a general weighted discrepancy for integrals over Euclidean space
• Constructing Randomly Shifted Lattice Rules in Weighted Sobolev Spaces
• Optimal algorithms for doubly weighted approximation of univariate functions
• Achieving high convergence rates by quasi-Monte Carlo and importance sampling for unbounded integrands
• Integration in Hermite spaces of analytic functions
• Efficient multivariate approximation on the cube
• QMC Galerkin Discretization of Parametric Operator Equations
• Quasi-Monte Carlo finite element methods for elliptic PDEs with lognormal random coefficients
• On the convergence rate of quasi Monte Carlo method with importance sampling for unbounded functions in RKHS
• Doubly weighted sharp Wirtinger inequalities on \(\mathbb{R}_+\)
• On embeddings of weighted tensor product Hilbert spaces
• Liberating the dimension
• Multilevel Quasi-Monte Carlo methods for lognormal diffusion problems
• Randomly shifted lattice rules with the optimal rate of convergence for unbounded integrands
• A Monte Carlo Method for Integration of Multivariate Smooth Functions

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