Group Leader:
Art Owen (Stanford University)
Description:
High dimensional numerical integration problems can often be solve efficiently using algorithms devised for weighted Sobolev spaces. A given black box function may belong to all of the spaces people use. That raises the question of which weights to be used. This WG looks at methods to select weights using ideas from global sensitivity analysis and active subspaces.
News and Updates: Coming soon…
SAMSI Directorate Liaison: Ilse Ipsen
Questions: email [email protected]
Program on Quasi-Monte Carlo and High-Dimensional Sampling Methods for Applied Mathematics (QMC)