Methods for enhancing numerical integration

Abstract

Abstract We give a survey of common strategies for numerical integration (adaptive, Monte-Carlo, Quasi-Monte Carlo), and attempt to delineate their realm of applicability. The inherent accuracy and error bounds for basic integration methods are given via such measures as the degree of precision of cubature rules, the index of a family of lattice rules, and the discrepancy of uniformly distributed point sets. Strategies incorporating these basic methods often use paradigms to reduce the error by, e.g., increasing the number of points in the domain or decreasing the mesh size, locally or uniformly. For these processes the order of convergence of the strategy is determined by the asymptotic behavior of the error, and may be too slow in practice for the type of problem at hand. For certain problem classes we may be able to improve the effectiveness of the method or strategy by such techniques as transformations, absorbing a difficult part of the integrand into a weight function, suitable partitioning of the domain, transformations and extrapolation or convergence acceleration. Situations warranting the use of these techniques (possibly in an “automated” way) are described and illustrated by sample applications.