Randomized Smolyak algorithms based on digital sequences for multivariate integration

DOI10.1093/IMANUM/DRM002MaRDI QIDQ5436484zbMATH OpenOpenAlexFDO

Authors Josef Dick, Gunther Leobacher, Friedrich Pillichshammer

Publication date 16 January 2008

Published in IMA Journal of Numerical Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/imanum/drm002

zbMATH Keywords

\(l\)-fold sparse gridsdeterministic algorithmdigital nets and sequencesnumerical experimentsQuasi-Monte Carlo algorithmrandomized algorithmreproducing kernel Sobolev spacesroot-means-square worst-case errorSmolyak algorithmWalsh functionsworst-case error

Mathematics Subject Classification ID

Well-distributed sequences and other variations (11K36) Pseudo-random numbers; Monte Carlo methods (11K45) Monte Carlo methods (65C05) Random number generation in numerical analysis (65C10)

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Cited in

(14)

• Multivariate integration in weighted Hilbert spaces based on Walsh functions and weighted Sobolev spaces
• Explicit error bounds for randomized Smolyak algorithms and an application to infinite-dimensional integration
• A universal algorithm for multivariate integration
• Quasi-Monte Carlo quadratures for multivariate smooth functions
• Consistency of randomized integration methods
• Reliable adaptive cubature using digital sequences
• Explicit Constructions of Quasi-Monte Carlo Rules for the Numerical Integration of High-Dimensional Periodic Functions
• Exact Error Estimates and Optimal Randomized Algorithms for Integration
• Walsh Spaces Containing Smooth Functions and Quasi–Monte Carlo Rules of Arbitrary High Order
• A Taylor space for multivariate integration
• Random-prime-fixed-vector randomised lattice-based algorithm for high-dimensional integration
• Quasi-interpolation for high-dimensional function approximation
• Smolyak's algorithm for integration and L₁-approximation of multivariate functions with bounded mixed derivatives of second order
• The tent transformation can improve the convergence rate of quasi-Monte Carlo algorithms using digital nets

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