The sparse structure of high-dimensional integrands

DOI10.1016/S0377-0427(00)00604-XMaRDI QIDQ5946090zbMATH OpenOpenAlexFDO

Authors P. Verlinden

Publication date 1 September 2002

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0377-0427(00)00604-x

zbMATH Keywords

numerical resultsquadrature and cubature formulasstochastic integralsWiener-Itô decomposition

Mathematics Subject Classification ID

Orthogonal functions and polynomials, general theory of nontrigonometric harmonic analysis (42C05) Stochastic integrals (60H05) Numerical quadrature and cubature formulas (65D32)

Review text

The author investigates the possible interest of expanding white noise in the orthonormal basis of orthogonal polynomials or in hierarchical basis of Daubechies' wavelets. Using the Wiener-Itô decomposition of the functional, the sparsity of the representation of the functional in these bases is studied.NEWLINENEWLINENEWLINEThen a quadrature formula is proposed that takes profit of the sparse structure of the quadric part of the Wiener-Itô decomposition. Finally, numerical results are considered.

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Cites work

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Cited in

(2)

• Exploring sparsity in three-dimensional integration for density-functional calculations
• Sparse quadrature for high-dimensional integration with Gaussian measure

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