728 research outputs found
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
Adaptive Multidimensional Integration Based on Rank-1 Lattices
Quasi-Monte Carlo methods are used for numerically integrating multivariate
functions. However, the error bounds for these methods typically rely on a
priori knowledge of some semi-norm of the integrand, not on the sampled
function values. In this article, we propose an error bound based on the
discrete Fourier coefficients of the integrand. If these Fourier coefficients
decay more quickly, the integrand has less fine scale structure, and the
accuracy is higher. We focus on rank-1 lattices because they are a commonly
used quasi-Monte Carlo design and because their algebraic structure facilitates
an error analysis based on a Fourier decomposition of the integrand. This leads
to a guaranteed adaptive cubature algorithm with computational cost ,
where is some fixed prime number and is the number of data points
Construction of Good Rank-1 Lattice Rules Based on the Weighted Star Discrepancy
The ‘goodness’ of a set of quadrature points in [0, 1]d may be measured by the weighted star discrepancy. If the weights for the weighted star discrepancy are summable, then we show that for n prime there exist n-point rank-1 lattice rules whose weighted star discrepancy is O(n−1+δ) for any δ>0, where the implied constant depends on δ and the weights, but is independent of d and n. Further, we show that the generating vector z for such lattice rules may be obtained using a component-by-component construction. The results given here for the weighted star discrepancy are used to derive corresponding results for a weighted Lp discrepancy
Hot new directions for quasi-Monte Carlo research in step with applications
This article provides an overview of some interfaces between the theory of
quasi-Monte Carlo (QMC) methods and applications. We summarize three QMC
theoretical settings: first order QMC methods in the unit cube and in
, and higher order QMC methods in the unit cube. One important
feature is that their error bounds can be independent of the dimension
under appropriate conditions on the function spaces. Another important feature
is that good parameters for these QMC methods can be obtained by fast efficient
algorithms even when is large. We outline three different applications and
explain how they can tap into the different QMC theory. We also discuss three
cost saving strategies that can be combined with QMC in these applications.
Many of these recent QMC theory and methods are developed not in isolation, but
in close connection with applications
Component-by-component construction of good intermediate-rank lattice rules
It is known that the generating vector of a rank-1 lattice rule can be constructed component-by-component to achieve strong tractability error bounds in both weighted Korobov spaces and weighted Sobolev spaces. Since the weights for these spaces are nonincreasing, the first few variables are in a sense more important than the rest. We thus propose to copy the points of a rank-1 lattice rule a number of times in the first few dimensions to yield an intermediate-rank lattice rule. We show that the generating vector (and in weighted Sobolev spaces, the shift also) of an intermediate-rank lattice rule can also be constructed component-by-component to achieve strong tractability error bounds. In certain circumstances, these bounds are better than the corresponding bounds for rank-1 lattice rules
06391 Abstracts Collection -- Algorithms and Complexity for Continuous Problems
From 24.09.06 to 29.09.06, the Dagstuhl Seminar 06391 ``Algorithms and Complexity for Continuous Problems\u27\u27 was held
in the International Conference and Research Center (IBFI),
Schloss Dagstuhl.
During the seminar, participants presented their current
research, and ongoing work and open problems were discussed. Abstracts of
the presentations given during the seminar
are put together in this paper. The first section
describes the seminar topics and goals in general.
Links to extended abstracts or full papers are provided, if available
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