Multi-level Monte Carlo algorithms for infinite-dimensional integration on \(\mathbb R^{\mathbb N}\)

DOI10.1016/j.jco.2010.02.002zbMath1207.65005MaRDI QIDQ983180

Thomas Müller-Gronbach, Klaus Ritter, Ben Niu, Fred J. Hickernell

Publication date: 3 August 2010

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

Full work available at URL: https://doi.org/10.1016/j.jco.2010.02.002

zbMATH Keywords

reproducing kernel Hilbert spaces; Monte Carlo algorithms; randomized algorithms; multi-level method; worst-case error; tractability; minimal error; fixed subspace sampling; infinite-dimensional quadrature; variable subspace sampling; integration on sequence spaces; worst-case cost

Mathematics Subject Classification ID

68W40: Analysis of algorithms

65C05: Monte Carlo methods

28A25: Integration with respect to measures and other set functions

41A63: Multidimensional problems

46E22: Hilbert spaces with reproducing kernels (= (proper) functional Hilbert spaces, including de Branges-Rovnyak and other structured spaces)

41A55: Approximate quadratures

65D32: Numerical quadrature and cubature formulas

65Y20: Complexity and performance of numerical algorithms

68W20: Randomized algorithms

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