Efficient algorithms for multivariate and ∞-Variate integration with exponential weight

L. Plaskota, G. W. Wasilkowski

Research output: Contribution to journalArticlepeer-review

5 Scopus citations


Using the Multivariate Decomposition Method (MDM), we develop an efficient algorithm for approximating the8-variate integralfor a class of functions f that are once differentiable with respect to each variable.MDM requires efficient algorithms for d-variate versions of the problem. Such algorithms are provided by Smolyaks construction which is based on efficient algorithms for the univariate integrationDetailed analysis and development of (nearly) optimal quadratures for I (f) is the main contribution of the current paper.

Original languageEnglish
Pages (from-to)385-403
Number of pages19
JournalNumerical Algorithms
Issue number2
StatePublished - Sep 25 2014

Bibliographical note

Publisher Copyright:
© 2013, Springer Science+BusinessMedia New York.


  • Multivariate integration
  • Weighted integrals
  • Weighted trapezoid rules
  • ∞-Variate functions

ASJC Scopus subject areas

  • Applied Mathematics


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