A simple universal algorithm for high-dimensional integration
Numerical Analysis
2024-12-02 v1 Computational Complexity
Numerical Analysis
Abstract
We present a simple universal algorithm for high-dimensional integration which has the optimal error rate (independent of the dimension) in all weighted Korobov classes both in the randomized and the deterministic setting. Our theoretical findings are complemented by numerical tests.
Keywords
Cite
@article{arxiv.2411.19164,
title = {A simple universal algorithm for high-dimensional integration},
author = {Takashi Goda and David Krieg},
journal= {arXiv preprint arXiv:2411.19164},
year = {2024}
}
Comments
18 pages. MATLAB code for numerical tests is attached