Randomly shifted lattice rules for unbounded integrands

DOI10.1016/J.JCO.2006.04.006MaRDI QIDQ855892zbMATH OpenOpenAlexFDO

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

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)

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• Constructing Randomly Shifted Lattice Rules in Weighted Sobolev Spaces
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• Liberating the weights
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• On tractability of weighted integration over bounded and unbounded regions in ℝ^{𝕤}
• Optimal designs for weighted approximation and integration of stochastic processes on \([0,\infty)\)
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• Randomized Polynomial Lattice Rules for Multivariate Integration and Simulation
• Randomly shifted lattice rules on the unit cube for unbounded integrands in high dimensions
• Sequences, discrepancies and applications
• Sufficient conditions for fast quasi-Monte Carlo convergence
• The effective dimension and quasi-Monte Carlo integration
• Theory of Reproducing Kernels
• Variance reduction via lattice rules
• Weighted tensor product algorithms for linear multivariate problems
• When are quasi-Monte Carlo algorithms efficient for high dimensional integrals?
• Why Are High-Dimensional Finance Problems Often of Low Effective Dimension?
• Worst case complexity of weighted approximation and integration over \(\mathbb{R}^d\)

Cited in

(22)

• Quasi-Monte Carlo finite element methods for elliptic PDEs with lognormal random coefficients
• Quasi-Monte Carlo for highly structured generalised response models
• Some results on the complexity of numerical integration
• Efficient multivariate approximation on the cube
• Shifted lattice rules based on a general weighted discrepancy for integrals over Euclidean space
• On the convergence rate of quasi Monte Carlo method with importance sampling for unbounded functions in RKHS
• On the quasi-Monte Carlo method with halton points for elliptic PDEs with log-normal diffusion
• 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
• Doubly weighted sharp Wirtinger inequalities on \(\mathbb{R}_+\)
• Randomly shifted lattice rules with the optimal rate of convergence for unbounded integrands
• Multilevel Quasi-Monte Carlo methods for lognormal diffusion problems
• A Monte Carlo method for integration of multivariate smooth functions
• QMC Galerkin discretization of parametric operator equations
• Constructing Randomly Shifted Lattice Rules in Weighted Sobolev Spaces
• Randomly shifted lattice rules on the unit cube for unbounded integrands in high dimensions
• Transformed rank-1 lattices for high-dimensional approximation
• Integration in Hermite spaces of analytic functions
• On embeddings of weighted tensor product Hilbert spaces
• On the distribution of integration error by randomly-shifted lattice rules
• Achieving high convergence rates by quasi-Monte Carlo and importance sampling for unbounded integrands
• Optimal algorithms for doubly weighted approximation of univariate functions
• Liberating the dimension

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