945 research outputs found
Are quasi-Monte Carlo algorithms efficient for two-stage stochastic programs?
Quasi-Monte Carlo algorithms are studied for designing discrete approximations of two-stage linear stochastic programs with random right-hand side and continuous probability distribution. The latter should allow for a transformation to a distribution with independent marginals. The two-stage integrands are piecewise linear, but neither smooth nor lie in the function spaces considered for QMC error analysis. We show that under some weak geometric condition on the two-stage model all terms of their ANOVA decomposition, except the one of highest order, are continuously differentiable and that first and second order ANOVA terms have mixed first order partial derivatives. Hence, randomly shifted lattice rules (SLR) may achieve the optimal rate of convergence not depending on the dimension if the effective superposition dimension is at most two. We discuss effective dimensions and dimension reduction for two-stage integrands. The geometric condition is shown to be satisfied almost everywhere if the underlying probability distribution is normal and principal component analysis (PCA) is used for transforming the covariance matrix. Numerical experiments for a large scale two-stage stochastic production planning model with normal demand show that indeed convergence rates close to the optimal are achieved when using SLR and randomly scrambled Sobol' point sets accompanied with PCA for dimension reduction
Exponential Squared Integrability for the Discrepancy Function in Two Dimensions
Let A_N be an N-point distribution in the unit square in the Euclidean plane.
We consider the Discrepancy function D_N(x) in two dimensions with respect to
rectangles with lower left corner anchored at the origin and upper right corner
at the point x. This is the difference between the actual number of points of
A_N in such a rectangle and the expected number of points - N x_1x_2 - in the
rectangle. We prove sharp estimates for the BMO norm and the exponential
squared Orlicz norm of D_N(x). For example we show that necessarily
||D_N||_(expL^2) >c(logN)^(1/2) for some aboslute constant c>0. On the other
hand we use a digit scrambled version of the van der Corput set to show that
this bound is tight in the case N=2^n, for some positive integer n. These
results unify the corresponding classical results of Roth and Schmidt in a
sharp fashion.Comment: 27 pages, 3 figures. Many improvements reflecting the comments and
observations of the referee. Final version. Submitted to Mathematik
Higher order scrambled digital nets achieve the optimal rate of the root mean square error for smooth integrands
We study a random sampling technique to approximate integrals
by averaging the function
at some sampling points. We focus on cases where the integrand is smooth, which
is a problem which occurs in statistics. The convergence rate of the
approximation error depends on the smoothness of the function and the
sampling technique. For instance, Monte Carlo (MC) sampling yields a
convergence of the root mean square error (RMSE) of order (where
is the number of samples) for functions with finite variance. Randomized
QMC (RQMC), a combination of MC and quasi-Monte Carlo (QMC), achieves a RMSE of
order under the stronger assumption that the integrand
has bounded variation. A combination of RQMC with local antithetic sampling
achieves a convergence of the RMSE of order (where
is the dimension) for functions with mixed partial derivatives up to
order two. Additional smoothness of the integrand does not improve the rate of
convergence of these algorithms in general. On the other hand, it is known that
without additional smoothness of the integrand it is not possible to improve
the convergence rate. This paper introduces a new RQMC algorithm, for which we
prove that it achieves a convergence of the root mean square error (RMSE) of
order provided the integrand satisfies the strong
assumption that it has square integrable partial mixed derivatives up to order
in each variable. Known lower bounds on the RMSE show that this rate
of convergence cannot be improved in general for integrands with this
smoothness. We provide numerical examples for which the RMSE converges
approximately with order and , in accordance with the
theoretical upper bound.Comment: Published in at http://dx.doi.org/10.1214/11-AOS880 the Annals of
Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical
Statistics (http://www.imstat.org
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