Exact cubature for a class of functions of maximum effective dimension

DOI10.1016/J.JCO.2006.04.002zbMATH Open1108.65005OpenAlexW2116062426MaRDI QIDQ855894FDOQ855894

A. Papageorgiou, Shu Tezuka

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.2006.04.002

zbMATH Keywords

ANOVAconvergencefinancealgorithmanalysis of varianceeffective dimensionworst case errorquasi-Monte Carlo methodhigh-dimensional integralsantisymmetric functions

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical methods (including Monte Carlo methods) (91G60) Numerical integration (65D30)

Cites Work

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• Liberating the weights
• Sufficient conditions for fast quasi-Monte Carlo convergence
• On the necessity of low-effective dimension
• Why Are High-Dimensional Finance Problems Often of Low Effective Dimension?
• The error bounds and tractability of quasi-Monte Carlo algorithms in infinite dimension
• Tractability of multivariate integration for weighted Korobov classes
• Finite-order weights imply tractability of linear multivariate problems
• Finite-order weights imply tractability of multivariate integration

Cited In (3)

• Efficient and Practical Implementations of Cubature on Wiener Space
• Title not available (Why is that?)
• Romberg extrapolation for Euler summation-based cubature on regular regions

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