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<p>We present a simple universal algorithm for high-dimensional integration which has the optimal error rate (independent of the dimension) in all weighted Korobov classes both in the randomized and the deterministic setting. Our theoretical findings are complemented by numerical tests.</p>

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A simple universal algorithm for high-dimensional integration

  • 期刊论文

  • 出版模式：

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  • 发表日期：

    2025年12月12日

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  • Takashi Goda,
  • David Krieg

摘要

We present a simple universal algorithm for high-dimensional integration which has the optimal error rate (independent of the dimension) in all weighted Korobov classes both in the randomized and the deterministic setting. Our theoretical findings are complemented by numerical tests.