The fast reduced QMC matrix-vector product

Josef Dick, Adrian Ebert, Lukas Herrmann +2

We study the approximation of integrals ${\int }_{D}f({\mathbf{x}}^{\top }A)\mathrm{d}\mu (\mathbf{x})$, where $A$ is a matrix, by quasi-Monte Carlo (QMC) rules $N^{-1} \sum_{k=0}^{…