English

Fast high-dimensional integration using tensor networks

Numerical Analysis 2022-02-22 v1 Numerical Analysis Computational Finance

Abstract

The design and application of regression-free tensor network representations for integration is presented. Tensor network methods are demonstrated to outperform Monte Carlo for test problems, and exponential convergence is shown to be achievable for a non-analytic integrand.

Keywords

Cite

@article{arxiv.2202.09780,
  title  = {Fast high-dimensional integration using tensor networks},
  author = {Sebastian Cassel},
  journal= {arXiv preprint arXiv:2202.09780},
  year   = {2022}
}

Comments

8 pages

R2 v1 2026-06-24T09:46:22.218Z