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A Pragmatic View on Numerical Integration of Unbounded Functions

In: Monte Carlo and Quasi-Monte Carlo Methods 2006

Author

Listed:
  • Heinz Hofbauer

    (Salzburg University, Department of Computer Sciences)

  • Andreas Uhl

    (Salzburg University, Department of Computer Sciences)

  • Peter Zinterhof

    (Salzburg University, Department of Computer Sciences)

Abstract

Summary We take a pragmatic approach to numerical integration of unbounded functions. In this context we discuss and evaluate the practical application of a method suited also for non-specialists and application developers. We will show that this method can be applied to a rich body of functions, and evaluate it’s merits in comparison to other methods for integration of unbounded integrals. Furthermore, we will give experimental results to illustrate certain issues in the actual application and to confirm theoretic results.

Suggested Citation

  • Heinz Hofbauer & Andreas Uhl & Peter Zinterhof, 2008. "A Pragmatic View on Numerical Integration of Unbounded Functions," Springer Books, in: Alexander Keller & Stefan Heinrich & Harald Niederreiter (ed.), Monte Carlo and Quasi-Monte Carlo Methods 2006, pages 511-528, Springer.
    • Handle: RePEc:spr:sprchp:978-3-540-74496-2_29
    DOI: 10.1007/978-3-540-74496-2_29
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