Hello everyone,
I am currently tackling the issue to numerically solve an integral of
higher dimensions numerically. I am comparing models
and their dimension increase with 2^n order.
Taking a closer look to its projections along the axes, down to a two
dimensions picture, the projections are
When the dimensionality gets high, grid methods like you're describing
start to be a problem (the curse of dimensionality). The standard
approaches are simple Monte Carlo integration or its refinements
(Metropolis-Hasings, for example). These converge somewhat slowly, but
are not much affected by
