Variable subspace sampling and multi-level algorithms

DOI10.1007/978-3-642-04107-5_8MaRDI QIDQ3405430zbMATH OpenOpenAlexFDO

Authors Thomas Müller-Gronbach, Klaus Ritter

Publication date 15 February 2010

Published in Monte Carlo and Quasi-Monte Carlo Methods 2008 (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-04107-5_8

zbMATH Keywords

numerical integrationrandomized algorithmsdiffusion processesGaussian measuresquadratureLipschitz functionalsKolmogorov widthsvariable subspace samplingmulti-level Monte Carlo algorithmsquantization numbers

Mathematics Subject Classification ID

Monte Carlo methods (65C05)

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(11)

• A measure-theoretic interpretation of sample based numerical integration with applications to inverse and prediction problems under uncertainty
• Infinite-dimensional quadrature and approximation of distributions
• Deterministic multi-level algorithms for infinite-dimensional integration on \(\mathbb R^{\mathbb N}\)
• A multilevel Monte Carlo algorithm for Lévy-driven stochastic differential equations
• Infinite-variate L^2-approximation with nested subspace sampling
• Multi-level Monte Carlo algorithms for infinite-dimensional integration on \(\mathbb R^{\mathbb N}\)
• Parameter estimation of fiber lay-down in nonwoven production: an occupation time approach
• From rough path estimates to multilevel Monte Carlo
• Explicit error bounds for randomized Smolyak algorithms and an application to infinite-dimensional integration
• Multivariate vector sampling expansion in shift-invariant subspaces
• Infinite-dimensional integration on weighted Hilbert spaces

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