Lattice rules with random nn achieve nearly the optimal O(n−α−1/2)\mathcal{O}(n^{-\alpha-1/2}) error independently of the dimension

We analyze a new random algorithm for numerical integration of $d$-variate functions over $[0,1]^d$ from a weighted Sobolev space with dominating mixed smoothness $\alpha\ge 0$ and product weights $1\ge\gamma_1\ge\gamma_2\ge\cdots>0$, where the functions are continuous and periodic when $\alpha>1/2$. The algorithm is based on rank-$1$ lattice rules with a random number of points~$n$. For the case $\alpha>1/2$, we prove that the algorithm achieves almost the optimal order of convergence of $\mathcal{O}(n^{-\alpha-1/2})$, where the implied constant is independent of the dimension~$d$ if the weights satisfy $\sum_{j=1}^\infty \gamma_j^{1/\alpha}<\infty$. The same rate of convergence holds for the more general case $\alpha>0$ by adding a random shift to the lattice rule with random $n$. This shows, in particular, that the exponent of strong tractability in the randomized setting equals $1/(\alpha+1/2)$, 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-$1$ 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

Recent advances in higher order quasi-Monte Carlo methods

In this article we review some of recent results on higher order quasi-Monte Carlo (HoQMC) methods. After a seminal work by Dick (2007, 2008) who originally introduced the concept of HoQMC, there have been significant theoretical progresses on HoQMC in terms of discrepancy as well as multivariate numerical integration. Moreover, several successful and promising applications of HoQMC to partial differential equations with random coefficients and Bayesian estimation/inversion problems have been reported recently. In this article we start with standard quasi-Monte Carlo methods based on digital nets and sequences in the sense of Niederreiter, and then move onto their higher order version due to Dick. The Walsh analysis of smooth functions plays a crucial role in developing the theory of HoQMC, and the aim of this article is to provide a unified picture on how the Walsh analysis enables recent developments of HoQMC both for discrepancy and numerical integration