Exact cubature for a class of functions of maximum effective dimension

DOI10.1016/J.JCO.2006.04.002MaRDI QIDQ855894zbMATH OpenOpenAlexFDO

Authors Shu Tezuka, A. Papageorgiou

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)

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Cites work

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• Finite-order weights imply tractability of linear multivariate problems
• Finite-order weights imply tractability of multivariate integration
• Global sensitivity indices for nonlinear mathematical models and their Monte Carlo estimates
• Liberating the weights
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• On the necessity of low-effective dimension
• Sufficient conditions for fast quasi-Monte Carlo convergence
• The error bounds and tractability of quasi-Monte Carlo algorithms in infinite dimension
• Tractability of multivariate integration for weighted Korobov classes
• When are quasi-Monte Carlo algorithms efficient for high dimensional integrals?
• Why Are High-Dimensional Finance Problems Often of Low Effective Dimension?

Cited in

(10)

• Estimating Mean Dimensionality of Analysis of Variance Decompositions
• Romberg extrapolation for Euler summation-based cubature on regular regions
• Cubature, approximation, and isotropy in the hypercube
• Effective dimension of some weighted pre-Sobolev spaces with dominating mixed partial derivatives
• scientific article; zbMATH DE number 634017 (Why is no real title available?)
• Stable high-order randomized cubature formulae in arbitrary dimension
• Efficient and Practical Implementations of Cubature on Wiener Space
• scientific article; zbMATH DE number 1894664 (Why is no real title available?)
• Sparse grid quadrature in high dimensions with applications in finance and insurance
• The effective dimension and quasi-Monte Carlo integration

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