A New Quasi-Monte Carlo Technique Based on Nonnegative Least Squares and Approximate Fekete Points

Abstract

AbstractThe computation of integrals in higher dimensions and on general domains, when no explicit cubature rules are known, can be ”easily” addressed by means of the quasi-Monte Carlo method. The method, simple in its formulation, becomes computationally inefficient when the space dimension is growing and the integration domain is particularly complex. In this paper we present two new approaches to the quasi-Monte Carlo method for cubature based onnonnegative least squaresandapproximate Fekete points. The main idea is to use less points and especiallygood pointsfor solving the system of the moments.Good pointsare here intended as points with good interpolation properties, due to the strict connection between interpolation and cubature. Numerical experiments show that, in average, just a tenth of the points should be used mantaining the same approximation order of the quasi-Monte Carlo method. The method has been satisfactory applied to 2 and 3-dimensional problems on quite complex domains.