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math.NA2023
The fast reduced QMC matrix-vector product
Josef Dick, Adrian Ebert, Lukas Herrmann +2
We study the approximation of integrals , where is a matrix, by quasi-Monte Carlo (QMC) rules $N^{-1} \sum_{k=0}^{…
math.NA2023
A-posteriori QMC-FEM error estimation for Bayesian inversion and optimal control with entropic risk measure
Marcello Longo, Christoph Schwab, Andreas Stein
We propose a novel a-posteriori error estimation technique where the target quantities of interest are ratios of high-dimensional integrals, as occur e.g. in PDE constrained Bayesi…