AG Numerik

Special Session on High dimensional numerical integration @ MCQMC2016

Dr. M. Weimar

I'm organizing a special session on High dimensional numerical integration at the upcomming Twelfth International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing (MCQMC2016) which takes place in Stanford (USA) in August 2016.

Session Abstract

In recent years the enormous increase in computer power paved the way for the development of more and more complicated models of multi-parameter real-world phenomena which have to be analyzed and simulated. Thus, motivated by applications from natural sciences, engineering, and finance, the efficient numerical treatment of these models has become an area of increasing importance. Often approximate integration of multivariate or even infinite-dimensional functions is a crucial task in this context. This has led to the development of advanced numerical schemes such as, e.g., (generalized) quasi-Monte Carlo methods.
The talks in this special session aim to address recent progress in the field of cubature rules, as well as applications of related techniques in the context of numerical analysis. Besides theoretical error bounds on spaces of high-dimensional functions, also complexity estimates are discussed.

Confirmed Speakers

  • Josef Dick, University of New South Wales (UNSW), Sydney, Australia: Quasi-Monte Carlo Methods and PDEs with Random Coefficients
  • Ralph Kritzinger, Johannes Kepler Universität (JKU), Linz, Austria: A Reduced Fast Component-by-Component Construction of Lattice Point Sets with Small Weighted Star Discrepancy
  • Ian H. Sloan, University of New South Wales (UNSW), Sydney, Australia: High Dimensional Integration of Kinks and Jumps: Smoothing by Preintegration
  • Christian Irrgeher, Johann Radon Institute for Computational and Applied Mathematics (RICAM), Linz, Austria: On the Optimal Order of Integration in Hermite Spaces with Finite Smoothness
The corresponding abstracts can be found here.

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last update: 28/07/2016