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JOURNALS // Doklady Rossijskoj Akademii Nauk. Mathematika, Informatika, Processy Upravlenia // Archive

Dokl. RAN. Math. Inf. Proc. Upr., 2023 Volume 514, Number 1, Pages 107–111 (Mi danma440)

MATHEMATICS

Multidimensional cubatures with super-power convergence

A. A. Belovab, M. A. Tintula

a Faculty of Physics, Lomonosov Moscow State University, Moscow, Russian Federation
b Peoples Friendship University of Russia, Faculty of Physical, Mathematical and Natural Sciences, Moscow, Russian Federation

Abstract: In many applications, multidimensional integrals over the unit hypercube arise, which are calculated using Monte Carlo methods. The convergence of the best of them turns out to be quite slow. In this paper, fundamentally new cubatures with super-power convergence based on the improved Korobov grids and special variable substitution are proposed. A posteriori error estimates are constructed, which are practically indistinguishable from the actual accuracy. Examples of calculations illustrating the advantages of the proposed methods are given.

Keywords: multidimensional integrals, Monte Carlo method, super-power convergence, Korobov grids.

UDC: 519.6

Presented: E. E. Tyrtyshnikov
Received: 06.03.2023
Revised: 18.09.2023
Accepted: 15.11.2023

DOI: 10.31857/S2686954323600118


 English version:
Doklady Mathematics, 2023, 108:3, 514–518

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© Steklov Math. Inst. of RAS, 2024