We study a random sampling technique to approximate integrals
β«[0,1]sβf(x)dx 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 f and the
sampling technique. For instance, Monte Carlo (MC) sampling yields a
convergence of the root mean square error (RMSE) of order Nβ1/2 (where N
is the number of samples) for functions f with finite variance. Randomized
QMC (RQMC), a combination of MC and quasi-Monte Carlo (QMC), achieves a RMSE of
order Nβ3/2+Ξ΅ 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 Nβ3/2β1/s+Ξ΅ (where
sβ₯1 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 NβΞ±β1/2+Ξ΅ provided the integrand satisfies the strong
assumption that it has square integrable partial mixed derivatives up to order
Ξ±>1 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 Nβ5/2 and Nβ7/2, 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