On an Interpolatory Method for High Dimensional Integration

Erich Novak, Klaus Ritter, Richard Schmitt, Achim Steinbauer

April 1997

We discuss numerical integration of smooth functions that are defined on a bounded or unbounded hyperrectangular region. We present numerical results that demonstrate the wide range of applications for our recently invented method. In addition we survey theoretical results. In the symmetric case our method is similar to the fully symmetric rules. However, it also can be used if the weight function is an arbitrary tensor product with different and/or nonsymmetric factors.

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