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Showing 1 to 1 of 1 for “"Multiscale Quadrature"”.
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Discrete Sparse Fourier Hermite Approximations in High Dimensions
… the approximated Fourier Hermite coefficients, a multiscale quadrature method is used. This quadrature method is implemented through an algorithm that takes advantage of the natural properties of the Hermite polynomials for fast results.</p> <p>The definitions of the sparse index set and of the …