Fast QMC Matrix-Vector Multiplication

DOI10.1137/151005518zbMath1320.65008arXiv1501.06286OpenAlexW2964207585MaRDI QIDQ5254809

Josef Dick, Frances Y. Kuo, Christoph Schwab, Quoc Thong Le Gia

Publication date: 10 June 2015

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1501.06286

zbMATH Keywords

fast Fourier transformquasi-Monte Carlohigh-dimensional integrationlattice ruleKorobov \(p\)-setpolynomial lattice rulePDEs with random input

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical methods for discrete and fast Fourier transforms (65T50) Numerical integration (65D30) Numerical linear algebra (65F99)

Related Items (6)

Extrapolated Polynomial Lattice Rule Integration in Computational Uncertainty Quantification ⋮ The fast reduced QMC matrix-vector product ⋮ Quasi--Monte Carlo Integration for Affine-Parametric, Elliptic PDEs: Local Supports and Product Weights ⋮ Application of quasi-Monte Carlo methods to elliptic PDEs with random diffusion coefficients: a survey of analysis and implementation ⋮ Richardson Extrapolation of Polynomial Lattice Rules ⋮ Toeplitz Monte Carlo

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