Exact cubature for a class of functions of maximum effective dimension

DOI10.1016/j.jco.2006.04.002zbMath1108.65005OpenAlexW2116062426MaRDI QIDQ855894

Anargyros Papageorgiou, Shu Tezuka

Publication date: 7 December 2006

Published in: Journal of Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jco.2006.04.002

zbMATH Keywords

algorithmconvergenceANOVAfinancequasi-Monte Carlo methodanalysis of varianceworst case erroreffective dimensionhigh-dimensional integralsantisymmetric functions

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Numerical integration (65D30)

Cites Work

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• When are quasi-Monte Carlo algorithms efficient for high dimensional integrals?
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• Sufficient conditions for fast quasi-Monte Carlo convergence
• Finite-order weights imply tractability of linear multivariate problems
• Finite-order weights imply tractability of multivariate integration
• Liberating the weights
• On the necessity of low-effective dimension
• The error bounds and tractability of quasi-Monte Carlo algorithms in infinite dimension
• Monte Carlo Variance of Scrambled Net Quadrature
• Why Are High-Dimensional Finance Problems Often of Low Effective Dimension?
• Global sensitivity indices for nonlinear mathematical models and their Monte Carlo estimates

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