Quasi-Monte Carlo methods for numerical integration of multivariate Haar series

DOI10.1007/BF02510355MaRDI QIDQ1378465zbMATH OpenOpenAlexFDO

Authors K. Entacher

Publication date 4 June 1998

Published in BIT (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf02510355

zbMATH Keywords

generalized Haar functionsintegration error estimateslow-discrepancy point setsnumerical integrationquasi-Monte Carlo methods

Mathematics Subject Classification ID

Fourier series in special orthogonal functions (Legendre polynomials, Walsh functions, etc.) (42C10) Monte Carlo methods (65C05) Numerical quadrature and cubature formulas (65D32)

Review text

This paper considers quasi-Monte Carlo integration in terms of generalized Haar function systems. After some brief review of the definitions of the Haar function system relative to an arbitrary integer base \(b\geq 2\), best possible integration error estimates are derived for Niederreiter's \((t,m,s)\)-nets in analogy to Larcher's method of numerical integration of Walsh series [\textit{G. Larcher} and \textit{C. Traunfellner}, Math. Comput. 63, No. 207, 277-291 (1994; Zbl 0806.65013); \textit{G. Larcher, W. Ch. Schmid} and \textit{R. Wolf}, Math. Comput. Modelling, 23, No. 8-9, 55-67 (1996; Zbl 0855.11042)]. The integration error is of the same order of magnitude as that for \(H^\alpha\) classes, the classical Haar system satisfying Hölder condition, which was derived by \textit{I. M. Sobol'} [Zh. Vychisl. Mat. Mat. Fiz. 7, 784-802 (1967; Zbl 0185.41103) and ``Multidimensional quadrature formulas and Haar functions, Nauka (1969; Zbl 0195.16903)]. The results of the integration error is compared to the estimates derived by using the uniform lattice numerically.

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Cites work

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Cited in

(12)

• Quasi-Monte Carlo methods for numerical integration of multivariate Haar series. II
• My dream quadrature rule
• Multivariate integration in weighted Hilbert spaces based on Walsh functions and weighted Sobolev spaces
• Quasi-Monte Carlo methods for integration of functions with dominating mixed smoothness in arbitrary dimension
• scientific article; zbMATH DE number 1341370 (Why is no real title available?)
• Optimal quadrature for Haar wavelet spaces
• scientific article; zbMATH DE number 822317 (Why is no real title available?)
• Quasi-Monte Carlo Methods for Numerical Integration: Comparison of Different Low Discrepancy Sequences
• scientific article; zbMATH DE number 7324764 (Why is no real title available?)
• Open type quasi-Monte Carlo integration based on Halton sequences in weighted Sobolev spaces
• QMC integration based on arbitrary (t, m, s)-nets yields optimal convergence rates on several scales of function spaces
• Minimal cubature formulas exact for Haar polynomials

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