Adaptive Multidimensional Integration Based on Rank-1 Lattices

DOI10.1007/978-3-319-33507-0_20MaRDI QIDQ2957046zbMATH OpenOpenAlexFDO

Authors Lluís Antoni Jiménez Rugama, Fred J. Hickernell

Publication date 20 January 2017

Published in Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1411.1966

zbMATH Keywords

adaptive algorithmsautomatic algorithmscubature algorithmdiscrete Fourier coefficientserror boundmultidimensional integrationnumerical examplesquasi-Monte Carlo methodsrank-1 lattices

Mathematics Subject Classification ID

Monte Carlo methods (65C05)

Abstract: 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 $O(m{b}^m)$, where $b$ is some fixed prime number and $b^m$ is the number of data points.

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Cited in

(10)

• Reliable error estimation for Sobol' indices
• Adaptive quasi-Monte Carlo finite element methods for parametric elliptic PDEs
• Fast automatic Bayesian cubature using lattice sampling
• Local adaption for approximation and minimization of univariate functions
• Reliable adaptive cubature using digital sequences
• Adaptive Quasi-Monte Carlo Methods for Cubature
• An Adaptive Algorithm Employing Continuous Linear Functionals
• Quasi-Monte Carlo Software
• Challenges in developing great quasi-Monte Carlo software
• Empirical Bernstein and betting confidence intervals for randomized quasi-Monte Carlo

Describes a project that uses

Uses Software

• GAIL
• Lattice Builder
• GitHub

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