The rate of convergence of sparse grid quadrature on the torus
Hegland, Markus; Leopardi, Paul
Description
We examine sparse grid quadrature on Korobov spaces; that is, weighted tensor product reproducing kernel Hilbert spaces on the torus. We describe a dimension adaptive quadrature algorithm based on an algorithm of Hegland [ANZIAM J., 44(E):C335, 2003], and also formulate a version of Wasilkowski and Wozniakowski's weighted tensor product algorithm [J. Complexity, 15(3):402, 1999]. We claim that our algorithm is generally lower in cost than Wasilkowski and Wozniakowski's algorithm, and therefore...[Show more]
dc.contributor.author | Hegland, Markus | |
---|---|---|
dc.contributor.author | Leopardi, Paul | |
dc.date.accessioned | 2015-12-07T22:27:08Z | |
dc.identifier.issn | 1446-8735 | |
dc.identifier.uri | http://hdl.handle.net/1885/21750 | |
dc.description.abstract | We examine sparse grid quadrature on Korobov spaces; that is, weighted tensor product reproducing kernel Hilbert spaces on the torus. We describe a dimension adaptive quadrature algorithm based on an algorithm of Hegland [ANZIAM J., 44(E):C335, 2003], and also formulate a version of Wasilkowski and Wozniakowski's weighted tensor product algorithm [J. Complexity, 15(3):402, 1999]. We claim that our algorithm is generally lower in cost than Wasilkowski and Wozniakowski's algorithm, and therefore both algorithms have the opti-mal asymptotic rate of convergence given by Theorem 3 of Wasilkowski and Wozniakowski. Even so, if the dimension weights decay slowly enough, both algorithms need a number of points exponential in the dimension to produce a substantial reduction in quadrature error. | |
dc.publisher | Australian Mathematical Society | |
dc.source | ANZIAM Journal | |
dc.title | The rate of convergence of sparse grid quadrature on the torus | |
dc.type | Journal article | |
local.description.notes | Imported from ARIES | |
local.identifier.citationvolume | 52 | |
dc.date.issued | 2011 | |
local.identifier.absfor | 010301 - Numerical Analysis | |
local.identifier.ariespublication | u4685828xPUB18 | |
local.type.status | Published Version | |
local.contributor.affiliation | Hegland, Markus, College of Physical and Mathematical Sciences, ANU | |
local.contributor.affiliation | Leopardi, Paul, College of Physical and Mathematical Sciences, ANU | |
local.description.embargo | 2037-12-31 | |
local.bibliographicCitation.startpage | C500 | |
local.bibliographicCitation.lastpage | C517 | |
local.identifier.absseo | 970101 - Expanding Knowledge in the Mathematical Sciences | |
dc.date.updated | 2015-12-07T09:49:39Z | |
local.identifier.scopusID | 2-s2.0-84870893338 | |
Collections | ANU Research Publications |
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