115 research outputs found
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
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