Parallel High-Dimensional Integration: Quasi-Monte Carlo versus Adaptive Cubature Rules

Abstract Parallel algorithms for the approximation of a multi-dimensional integral over an hyper-rectangular region are discussed. Algorithms based on quasi-Monte Carlo techniques are compared with adaptive algorithms, and scalable parallel versions of both algorithms are presented. Special care has been taken to point out the role of the cubature formulas the adaptive algorithms are based on, and different cubature formulas and their impact on the performance of the algorithm are evaluated. Tests are performed for the sequential and parallel algorithms using Genz’s test function package.

• Type: Conference
• Year: 2001
• Where: ICCS
• Authors: Rudolf Schürer
• Keywords: Adaptive Algorithms, Algorithms, Applied Computing, ICCS 2001, Parallel Algorithms