Toeplitz Monte Carlo

DOI10.1007/s11222-020-09987-xzbMath1461.62017arXiv2003.03915OpenAlexW3119765951MaRDI QIDQ2029071

Hiroya Murata, Takashi Goda, Josef Dick

Publication date: 3 June 2021

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2003.03915

zbMATH Keywords

Monte CarloToeplitz matrixhigh-dimensional integrationfast matrix-vector multiplicationPDEs with random coefficients

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Monte Carlo methods (65C05)

Uses Software

• FFTW

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Further analysis of multilevel Monte Carlo methods for elliptic PDEs with random coefficients
• Multilevel Monte Carlo methods and applications to elliptic PDEs with random coefficients
• Tractability of multivariate problems. Volume II: Standard information for functionals.
• When are quasi-Monte Carlo algorithms efficient for high dimensional integrals?
• Fast random field generation with \(H\)-matrices
• Multilevel Higher Order QMC Petrov--Galerkin Discretization for Affine Parametric Operator Equations
• Quasi-Monte Carlo for finance applications
• Multilevel Monte Carlo Path Simulation
• On decompositions of multivariate functions
• Fast QMC Matrix-Vector Multiplication
• A Class of Statistics with Asymptotically Normal Distribution

This page was built for publication: Toeplitz Monte Carlo