Sparse Quadrature for High-Dimensional Integration with Gaussian Measure

DOI10.1051/M2AN/2018012MaRDI QIDQ6272986arXivWikidataFDO

Authors Peng Chen

Publication date 28 April 2016

Published in arXiv

Full work available at URL https://doi.org/10.1051/M2AN/2018012

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Numerical integration (65D30) Numerical quadrature and cubature formulas (65D32) Stability and convergence of numerical methods for boundary value problems involving PDEs (65N12) Error bounds for boundary value problems involving PDEs (65N15) Numerical methods for inverse problems for boundary value problems involving PDEs (65N21)

arXiv classification

math.NA

Abstract: In this work we analyze the dimension-independent convergence property of an abstract sparse quadrature scheme for numerical integration of functions of high-dimensional parameters with Gaussian measure. Under certain assumptions of the exactness and the boundedness of univariate quadrature rules as well as the regularity of the parametric functions with respect to the parameters, we obtain the convergence rate $O(N^{-s})$, where $N$ is the number of indices, and $s$ is independent of the number of the parameter dimensions. Moreover, we propose both an a-priori and an a-posteriori schemes for the construction of a practical sparse quadrature rule and perform numerical experiments to demonstrate their dimension-independent convergence rates.

Cited in

(1)

• Residual-Based Time Discretization on Nonlinear Approximation Manifolds: Analysis and Gaussian Applications

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