A. D. Gilbert

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20172026

most citedTheory and construction of Quasi-Monte Carlo rules for option pricing and density estimation

1 citations · 1 across the 16 of their papers we have counts for

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math.NA2017

Efficient implementations of the Multivariate Decomposition Method for approximating infinite-variate integrals

Alexander D. Gilbert, Frances Y. Kuo, Dirk Nuyens +1

In this paper we focus on efficient implementations of the Multivariate Decomposition Method (MDM) for approximating integrals of $\infty$ -variate functions. Such $\infty$ -variate…

math.NA2017

Small Superposition Dimension and Active Set Construction for Multivariate Integration Under Modest Error Demand

Alexander D. Gilbert, Greg W. Wasilkowski

Constructing active sets is a key part of the Multivariate Decomposition Method. An algorithm for constructing optimal or quasi-optimal active sets is proposed in the paper. By num…