Stochastic Quadrature Formulas
نویسندگان
چکیده
A class of formulas for the numerical evaluation of multiple integrals is described, which combines features of the Monte-Carlo and the classical methods. For certain classes of functions—defined by smoothness conditions—these formulas provide the fastest possible rate of convergence to the integral. Asymptotic error estimates are derived, and a method is described for obtaining good a posteriori error bounds when using these formulas. Equal-coefficients formulas of this class, of degrees up to 3, are constructed.
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تاریخ انتشار 2010