A Multivariate Fast Discrete Walsh Transform with an Application to Function Interpolation

For high dimensional problems, such as approximation and integration, one cannot afford to sample on a grid because of the curse of dimensionality. An attractive alternative is to sample on a low discrepancy set, such as an integration lattice or a digital net. This article introduces a multivariate fast discrete Walsh transform for data sampled on a digital net that requires only $O(N \log N)$ operations, where $N$ is the number of data points. This algorithm and its inverse are digital analogs of multivariate fast Fourier transforms. This fast discrete Walsh transform and its inverse may be used to approximate the Walsh coefficients of a function and then construct a spline interpolant of the function. This interpolant may then be used to estimate the function's effective dimension, an important concept in the theory of numerical multivariate integration. Numerical results for various functions are presented

The Discrepancy and Gain Coefficients of Scrambled Digital Nets

AbstractDigital sequences and nets are among the most popular kinds of low discrepancy sequences and sets and are often used for quasi-Monte Carlo quadrature rules. Several years ago Owen proposed a method of scrambling digital sequences and recently Faure and Tezuka have proposed another method. This article considers the discrepancy of digital nets under these scramblings. The first main result of this article is a formula for the discrepancy of a scrambled digital (λ, t, m, s)-net in base b with n=λbm points that requires only O(n) operations to evaluate. The second main result is exact formulas for the gain coefficients of a digital (t, m, s)-net in terms of its generator matrices. The gain coefficients, as defined by Owen, determine both the worst-case and random-case analyses of quadrature error

A unified treatment of tractability for approximation problems defined on Hilbert spaces

A large literature specifies conditions under which the information complexity for a sequence of numerical problems defined for dimensions $1, 2, \ldots$ grows at a moderate rate, i.e., the sequence of problems is tractable. Here, we focus on the situation where the space of available information consists of all linear functionals and the problems are defined as linear operator mappings between Hilbert spaces. We unify the proofs of known tractability results and generalize a number of existing results. These generalizations are expressed as five theorems that provide equivalent conditions for (strong) tractability in terms of sums of functions of the singular values of the solution operators

Evaluating Expectations of Functionals of Brownian Motions: a Multilevel Idea

Prices of path dependent options may be modeled as expectations of functions of an infinite sequence of real variables. This talk presents recent work on bounding the error of such expectations using quasi-Monte Carlo algorithms. The expectation is approximated by an average of $n$ samples, and the functional of an infinite number of variables is approximated by a function of only $d$ variables. A multilevel algorithm employing a sum of sample averages, each with different truncated dimensions, $d_l$, and different sample sizes, $n_l$, yields faster convergence than a single level algorithm. This talk presents results in the worst-case error setting