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Num. Meth. Prog., 2009, Volume 10, Issue 4, Pages 391–397 (Mi vmp393)  

Вычислительные методы и приложения

Principles of the Bayesian automatic adaptive quadrature

G. Adam, S. Adam

Joint Institute for Nuclear Research, Dubna, Moscow region

Abstract: The addition of Bayesian inference to the automatic adaptive quadrature scheme developed in QUADPACK (R. Piessens, E. deDoncker-Kapenga, C.W. Uberhuber, and D.K. Kahaner, QUADPACK, a quadrature package for automatic integration, Springer, Berlin, 1983) significantly increases the output reliability under the lack of \it a priori knowledge on the behavior of the function over the integration domain. In the present paper, we review the progress obtained until now along these lines. Keywords: numerical integration, automatic adaptive quadrature, integrand profile analysis, reliability, Bayesian inference

Keywords: numerical integration; automatic adaptive quadrature; integrand profile analysis; reliability; Bayesian inference.

Full text: PDF file (179 kB)
UDC: 519.644:519.226.3:004.021:004.05

Citation: G. Adam, S. Adam, “Principles of the Bayesian automatic adaptive quadrature”, Num. Meth. Prog., 10:4 (2009), 391–397

Citation in format AMSBIB
\Bibitem{AdaAda09}
\by G.~Adam, S.~Adam
\paper Principles of the Bayesian automatic adaptive quadrature
\jour Num. Meth. Prog.
\yr 2009
\vol 10
\issue 4
\pages 391--397
\mathnet{http://mi.mathnet.ru/vmp393}


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