Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Stable high-order randomized cubature formulae in arbitrary dimension   We propose and analyse randomized cubature formulae for the numerical
integration of functions with respect to a given probability measure $\mu$
defined on a domain $\Gamma \subseteq \mathbb{R}^d$, in any dimension $d$. Each
cubature formula is exact on a given finite-dimensional subspace $V_n\subset
L^2(\Gamma,\mu)$ of dimension $n$, and uses pointwise evaluations of the
integrand function $\phi : \Gamma \to \mathbb{R}$ at $m>n$ independent random
points. These points are drawn from a suitable auxiliary probability measure
that depends on $V_n$. We show that, up to a logarithmic factor, a linear
proportionality between $m$ and $n$ with dimension-independent constant ensures
stability of the cubature formula with high probability. We also prove error
estimates in probability and in expectation for any $n\geq 1$ and $m>n$, thus
covering both preasymptotic and asymptotic regimes. Our analysis shows that the
expected cubature error decays as $\sqrt{n/m}$ times the $L(\Gamma, \mu)$-best
approximation error of $\phi$ in $V_n$. On the one hand, for fixed $n$ and
$m\to \infty$ our cubature formula can be seen as a variance reduction
technique for a Monte Carlo estimator, and can lead to enormous variance
reduction for smooth integrand functions and subspaces $V_n$ with spectral
approximation properties. On the other hand, when we let $n,m\to\infty$, our
cubature becomes of high order with spectral convergence. As a further
contribution, we analyse also another cubature formula whose expected error
decays as $\sqrt{1/m}$ times the $L^2(\Gamma,\mu)$-best approximation error of
$\phi$ in $V_n$, which is asymptotically optimal but with constants that can be
larger in the preasymptotic regime. Finally we show that, under a more
demanding (at least quadratic) proportionality betweeen $m$ and $n$, the
weights of the cubature are positive with high probability.

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The categories of this paper are: physics
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The categories of this paper are: astro-ph
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The categories of this paper are: cmp-lg
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The categories of this paper are: gr-qc
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The categories of this paper are: q-bio
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The categories of this paper are: dg-ga
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The categories of this paper are: econ
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The categories of this paper are: chem-ph
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The categories of this paper are: funct-an
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The categories of this paper are: ao-sci
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The categories of this paper are: patt-sol
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The categories of this paper are: bayes-an
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The categories of this paper are: atom-ph
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The categories of this paper are: quant-ph
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The categories of this paper are: hep-lat
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The categories of this paper are: comp-gas