Fast orthogonal transforms for multi-level quasi-Monte Carlo integration
Christian Irrgeher, Gunther Leobacher
TL;DR
This paper introduces a combined approach using fast orthogonal transforms and multilevel Monte Carlo to significantly enhance the efficiency of quasi-Monte Carlo integration.
Contribution
It presents a novel method that integrates fast orthogonal transforms with multilevel Monte Carlo, improving quasi-Monte Carlo performance.
Findings
Significant efficiency improvements demonstrated through examples
Effective combination of orthogonal transforms with multilevel Monte Carlo
Potential for broad application in high-dimensional integration
Abstract
We combine a generic method for finding fast orthogonal transforms for a given quasi-Monte Carlo integration problem with the multilevel Monte Carlo method. It is shown by example that this combined method can vastly improve the efficiency of quasi-Monte Carlo.
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Taxonomy
TopicsMathematical Approximation and Integration · Statistical and numerical algorithms · Mathematical functions and polynomials