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Multivariate Decomposition Method


Greg Wasilkowski, Ph.D.


We discuss the Multivariate Decomposition Method (MDM) for approximating integrals of functions of infinitely many variables. We present recent results on the worst-case superposition dimension and on constructing active sets. Under modest error demands, MDM is almost as efficient as quadrature for univariate integration. The presentation is based on papers co-authored with A. Gilbert, M. Gnewuch, M. Hefter, P. Kritzer, F. Y. Kuo, F. Pillichshammer, L. Plaskota, K. Ritter, I. H. Sloan, and H. Wozniakowski.