Optimal stochastic quadrature formulas for convex functions

DOI10.1007/BF01955875zbMath0818.65014OpenAlexW2088047518MaRDI QIDQ1335002

Erich Novak, Knut Petras

Publication date: 26 September 1994

Published in: BIT (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01955875

zbMATH Keywords

performanceMonte Carlo methodsconvex functionsadaptive quadratureoptimal stochastic quadrature formulas

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Approximate quadratures (41A55) Numerical quadrature and cubature formulas (65D32)

Related Items (3)

Randomized complexity of parametric integration and the role of adaption. I: Finite dimensional case ⋮ The difficulty of Monte Carlo approximation of multivariate monotone functions ⋮ What Monte Carlo models can do and cannot do efficiently?

Cites Work

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• On a problem proposed by H.Braß concerning the remainder term in quadrature for convex functions
• Best quadrature formula in the class of convex functions
• Deterministic and stochastic error bounds in numerical analysis
• Gaussian quadrature formulae -- second Peano kernels, nodes, weights and Bessel functions
• Quadrature Formulas for Monotone Functions

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