Variable Subspace Sampling and Multi-level Algorithms

DOI10.1007/978-3-642-04107-5_8zbMath1184.65007OpenAlexW43885757MaRDI QIDQ3405430

Klaus Ritter, Thomas Müller-Gronbach

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 integrationdiffusion processesquadraturerandomized algorithmsGaussian measuresKolmogorov widthsLipschitz functionalsvariable subspace samplingmulti-level Monte Carlo algorithmsquantization numbers

Mathematics Subject Classification ID

Monte Carlo methods (65C05)

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