Random weights, robust lattice rules and the geometry of the \(cbcrc\) algorithm (Q1938427): Difference between revisions

The author proposes an algorithm to construct lattice rules for cubature formulas over the unit cube which have a small expectation value and a small variance with respect to the random choices. The obtained algorithm is a component-by-component algorithm with 2 constraints, shortly \(cbc2c\) algorithm. The general version which uses \(r\) constraints (shortly \(cbcrc\) algorithm) is studied showing that lattice rules generated by the \(cbcrc\) algorithm simultaneously work well for all weights in a subspace spanned by the chosen \(r\) weights. It is shown that the square worst case error satisfies a certain bound for all weights in a convex polytope which is defined by the weights used in the \(cbcrc\) algorithm. In the final section, some numerical examples are provided to illustrate that in certain instances the \(cbc2c\) algorithm is beneficial.