Exponential convergence and tractability of multivariate integration for Korobov spaces

In this paper we study multivariate integration for a weighted Korobov space for which the Fourier coefficients of the functions decay exponentially fast. This implies that the functions of this space are infinitely times differentiable. Weights of the Korobov space monitor the influence of each variable and each group of variables. We show that there are numerical integration rules which achieve an exponential convergence of the worst-case integration error. We also investigate the dependence of the worst-case error on the number of variables s, and show various tractability results under certain conditions on weights of the Korobov space. Tractability means that the dependence on s is never exponential, and sometimes the dependence on s is polynomial or there is no dependence on s at all.

• Type: Journal
• Year: 2011
• Where: MOC
• Authors: Josef Dick, Gerhard Larcher, Friedrich Pillichshammer, Henryk Wozniakowski
• Keywords: Intelligent Agents, Korobov Space, MOC 2011, Weighted Korobov Space, Worst-case Integration Error