21,061 research outputs found
Lattice rules with random achieve nearly the optimal error independently of the dimension
We analyze a new random algorithm for numerical integration of -variate
functions over from a weighted Sobolev space with dominating mixed
smoothness and product weights
, where the functions are continuous and
periodic when . The algorithm is based on rank- lattice rules
with a random number of points~. For the case , we prove that
the algorithm achieves almost the optimal order of convergence of
, where the implied constant is independent of
the dimension~ if the weights satisfy . The same rate of convergence holds for the more
general case by adding a random shift to the lattice rule with
random . This shows, in particular, that the exponent of strong tractability
in the randomized setting equals , if the weights decay fast
enough. We obtain a lower bound to indicate that our results are essentially
optimal. This paper is a significant advancement over previous related works
with respect to the potential for implementation and the independence of error
bounds on the problem dimension. Other known algorithms which achieve the
optimal error bounds, such as those based on Frolov's method, are very
difficult to implement especially in high dimensions. Here we adapt a
lesser-known randomization technique introduced by Bakhvalov in 1961. This
algorithm is based on rank- lattice rules which are very easy to implement
given the integer generating vectors. A simple probabilistic approach can be
used to obtain suitable generating vectors.Comment: 17 page
Rank-1 lattice rules for multivariate integration in spaces of permutation-invariant functions: Error bounds and tractability
We study multivariate integration of functions that are invariant under
permutations (of subsets) of their arguments. We find an upper bound for the
th minimal worst case error and show that under certain conditions, it can
be bounded independent of the number of dimensions. In particular, we study the
application of unshifted and randomly shifted rank- lattice rules in such a
problem setting. We derive conditions under which multivariate integration is
polynomially or strongly polynomially tractable with the Monte Carlo rate of
convergence . Furthermore, we prove that those tractability
results can be achieved with shifted lattice rules and that the shifts are
indeed necessary. Finally, we show the existence of rank- lattice rules
whose worst case error on the permutation- and shift-invariant spaces converge
with (almost) optimal rate. That is, we derive error bounds of the form
for all , where denotes
the smoothness of the spaces.
Keywords: Numerical integration, Quadrature, Cubature, Quasi-Monte Carlo
methods, Rank-1 lattice rules.Comment: 26 pages; minor changes due to reviewer's comments; the final
publication is available at link.springer.co
Good intermediate-rank lattice rules based on the weighted star discrepancy
We study the problem of constructing good intermediate-rank lattice rules in the sense of having a low weighted star discrepancy. The intermediate-rank rules considered here are obtained by “copying” rank-1 lattice rules. We show that such rules can be constructed using a component-by-component technique and prove that the bound for the weighted star discrepancy achieves the optimal convergence rate
Good lattice rules with a composite number of points based on the product weighted star discrepancy
Rank-1 lattice rules based on a weighted star discrepancy with weights of a product form have been previously constructed under the assumption that the number of points is prime. Here, we extend these results to the non-prime case. We show that if the weights are summable, there exist lattice rules whose weighted star discrepancy is O(n−1+δ), for any δ > 0, with the implied constant independent of the dimension and the number of lattice points, but dependent on δ and the weights. Then we show that the generating vector of such a rule can be constructed using a component-by-component (CBC) technique. The cost of the CBC construction is analysed in the final part of the paper
Construction of quasi-Monte Carlo rules for multivariate integration in spaces of permutation-invariant functions
We study multivariate integration of functions that are invariant under the
permutation (of a subset) of their arguments. Recently, in Nuyens,
Suryanarayana, and Weimar (Adv. Comput. Math. (2016), 42(1):55--84), the
authors derived an upper estimate for the th minimal worst case error for
such problems, and showed that under certain conditions this upper bound only
weakly depends on the dimension. We extend these results by proposing two
(semi-) explicit construction schemes. We develop a component-by-component
algorithm to find the generating vector for a shifted rank- lattice rule
that obtains a rate of convergence arbitrarily close to
, where denotes the smoothness of our
function space and is the number of cubature nodes. Further, we develop a
semi-constructive algorithm that builds on point sets which can be used to
approximate the integrands of interest with a small error; the cubature error
is then bounded by the error of approximation. Here the same rate of
convergence is achieved while the dependence of the error bounds on the
dimension is significantly improved
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