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A New Quasi-Monte Carlo Technique Based on Nonnegative Least Squares and Approximate Fekete Points

机译:基于非负最小二乘和近似Fekete点的拟蒙特卡罗新技术

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The computation of integrals in higher dimensions and on general domains,when no explicit cubature rules are known,can be "easily" addressed by means of the quasi-Monte Carlo method.The method,simple in its formulation,becomes computationally inefficient when the space dimension is growing and the integration domain is particularly complex.In this paper we present two new approaches to the quasi-Monte Carlo method for cubature based on nonnegative least squares and approximate Fekete points.The main idea is to use less points and especially good points for solving the system of the moments.Good points are here intended as points with good interpolation properties,due to the strict connection between interpolation and cubature.Numerical experiments show that,in average,just a tenth of the points should be used mantaining the same approximation order of the quasi-Monte Carlo method.The method has been satisfactory applied to 2 and 3-dimensional problems on quite complex domains.
机译:在较高维度和一般域上的积分计算,如果不知道明确的培养规则,则可以通过拟蒙特卡罗方法“轻松”解决。该方法的公式简单,当空间有限时,计算效率低下本文提出了两种基于非负最小二乘和近似费克特点的准蒙特卡罗方法的新方法。主要思想是使用更少的点,特别是好点由于插值和库之间的严格联系,因此此处的好点是指具有良好插值特性的点。数值实验表明,平均而言,只有十分之一的点用于保持相同的点。准蒙特卡罗方法的近似阶次。该方法已令人满意地应用于相当复杂的域上的二维和三维问题。

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