arXiv · 1608.06061
On the optimal order of integration in Hermite spaces with finite smoothness
Abstract
We study the numerical approximation of integrals over $\mathbb{R}^s$ with respect to the standard Gaussian measure for integrands which lie in certain Hermite spaces of functions. The decay rate of the associated sequence is specified by a single integer parameter which determines the smoothness classes and the inner product can be expressed via $L_2$ norms of the derivatives of the function. We map higher order digital nets from the unit cube to a suitable subcube of $\mathbb{R}^s$ via a linear transformation and show that such rules achieve, apart from powers of $\log N$, the optimal rate of convergence of the integration error.
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Josef Dick, Christian Irrgeher, Gunther Leobacher, Friedrich Pillichshammer. 2016-08-22. On the optimal order of integration in Hermite spaces with finite smoothness. https://arxiv.org/abs/1608.06061
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