Local antithetic sampling with scrambled nets

DOI10.1214/07-AOS548MaRDI QIDQ955143zbMATH OpenFDO

Authors Art B. Owen

Publication date 18 November 2008

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0811.0528

zbMATH Keywords

ANOVA decompositionb-ary reflections and foldscubatureDigital netsDigital scramblesMonomial rulesmultidimensional quadraturesRandomized quasi-Monte Carlo methodroot mean square errorVariance for scrambled digital netsvariance reduction methods

Mathematics Subject Classification ID

Pseudo-random numbers; Monte Carlo methods (11K45) Approximate quadratures (41A55) Multidimensional problems (41A63) Monte Carlo methods (65C05)

Abstract: We consider the problem of computing an approximation to the integral $I=in{t}_{[0,1{]}^d}f(x)dx$. Monte Carlo (MC) sampling typically attains a root mean squared error (RMSE) of $O(n^{-1/2})$ from $n$ independent random function evaluations. By contrast, quasi-Monte Carlo (QMC) sampling using carefully equispaced evaluation points can attain the rate $O(n^{-1+varepsilon})$ for any $varepsilon>0$ and randomized QMC (RQMC) can attain the RMSE $O(n^{-3/2+varepsilon})$, both under mild conditions on $f$. Classical variance reduction methods for MC can be adapted to QMC. Published results combining QMC with importance sampling and with control variates have found worthwhile improvements, but no change in the error rate. This paper extends the classical variance reduction method of antithetic sampling and combines it with RQMC. One such method is shown to bring a modest improvement in the RMSE rate, attaining $O(n^{-3/2-1/d+varepsilon})$ for any $varepsilon>0$, for smooth enough $f$.

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Cited in

(28)

• Decision-theoretic sensitivity analysis for reservoir development under uncertainty using multilevel quasi-Monte Carlo methods
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• MinT

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