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math.NA2023★ 1 cited
On Bounding and Approximating Functions of Multiple Expectations using Quasi-Monte Carlo
Aleksei G. Sorokin, Jagadeeswaran Rathinavel
Monte Carlo and Quasi-Monte Carlo methods present a convenient approach for approximating the expected value of a random variable. Algorithms exist to adaptively sample the random…
math.NA2022★ 1 cited
Fast Automatic Bayesian Cubature Using Matching Kernels and Designs
Jagadeeswaran Rathinavel
Automatic cubatures approximate integrals to user-specified error tolerances. For high dimensional problems, it is difficult to adaptively change the sampling pattern to focus on p…