Probabilistic lower bounds for the discrepancy of Latin hypercube samples

DOI10.1007/978-3-319-72456-0_16MaRDI QIDQ4611807zbMATH OpenOpenAlexFDO

Authors Benjamin Doerr, Carola Doerr, Michael Gnewuch

Publication date 22 January 2019

Published in Contemporary Computational Mathematics - A Celebration of the 80th Birthday of Ian Sloan (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1707.08481

Mathematics Subject Classification ID

Orthogonal arrays, Latin squares, Room squares (05B15) Sampling theory, sample surveys (62D05) Numerical solution of boundary value problems involving ordinary differential equations (65L10)

Abstract: We provide probabilistic lower bounds for the star discrepancy of Latin hypercube samples. These bounds are sharp in the sense that they match the recent probabilistic upper bounds for the star discrepancy of Latin hypercube samples proved in [M.~Gnewuch, N.~Hebbinghaus. "Discrepancy bounds for a class of negatively dependent random points including Latin hypercube samples". Preprint 2016.]. Together, this result and our work implies that the discrepancy of Latin hypercube samples differs at most by constant factors from the discrepancy of uniformly sampled point sets.

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Cited in

(11)

• Star discrepancy subset selection: problem formulation and efficient approaches for low dimensions
• On negative dependence properties of Latin hypercube samples and scrambled nets
• Discrepancy bounds for a class of negatively dependent random points including Latin hypercube samples
• Some large deviations results for Latin hypercube sampling
• Bounds for the average \(L^p\)-extreme and the \(L^\infty\)-extreme discrepancy
• Note on pairwise negative dependence of randomly shifted and jittered rank-1 lattices
• An elementary proof of a lower bound for the inverse of the star discrepancy
• On negatively dependent sampling schemes, variance reduction, and probabilistic upper discrepancy bounds
• A generalized Faulhaber inequality, improved bracketing covers, and applications to discrepancy
• A sharp discrepancy bound for jittered sampling
• Latinized improved LHS, and CVT point sets in hypercubes

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