47 research outputs found
On a projection-corrected component-by-component construction
The component-by-component construction is the standard method of finding
good lattice rules or polynomial lattice rules for numerical integration.
Several authors have reported that in numerical experiments the generating
vector sometimes has repeated components. We study a variation of the classical
component-by-component algorithm for the construction of lattice or polynomial
lattice point sets where the components are forced to differ from each other.
This avoids the problem of having projections where all quadrature points lie
on the main diagonal. Since the previous results on the worst-case error do not
apply to this modified algorithm, we prove such an error bound here. We also
discuss further restrictions on the choice of components in the
component-by-component algorithm
Multi-level higher order QMC Galerkin discretization for affine parametric operator equations
We develop a convergence analysis of a multi-level algorithm combining higher
order quasi-Monte Carlo (QMC) quadratures with general Petrov-Galerkin
discretizations of countably affine parametric operator equations of elliptic
and parabolic type, extending both the multi-level first order analysis in
[\emph{F.Y.~Kuo, Ch.~Schwab, and I.H.~Sloan, Multi-level quasi-Monte Carlo
finite element methods for a class of elliptic partial differential equations
with random coefficient} (in review)] and the single level higher order
analysis in [\emph{J.~Dick, F.Y.~Kuo, Q.T.~Le~Gia, D.~Nuyens, and Ch.~Schwab,
Higher order QMC Galerkin discretization for parametric operator equations} (in
review)]. We cover, in particular, both definite as well as indefinite,
strongly elliptic systems of partial differential equations (PDEs) in
non-smooth domains, and discuss in detail the impact of higher order
derivatives of {\KL} eigenfunctions in the parametrization of random PDE inputs
on the convergence results. Based on our \emph{a-priori} error bounds, concrete
choices of algorithm parameters are proposed in order to achieve a prescribed
accuracy under minimal computational work. Problem classes and sufficient
conditions on data are identified where multi-level higher order QMC
Petrov-Galerkin algorithms outperform the corresponding single level versions
of these algorithms. Numerical experiments confirm the theoretical results
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