Hiding the weights -- CBC black box algorithms with a guaranteed error bound

DOI10.1016/J.MATCOM.2016.06.005MaRDI QIDQ1996952zbMATH OpenOpenAlexFDO

Authors Alexander D. Gilbert, F. Y. Kuo, Ian H. Sloan

Publication date 1 March 2021

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1810.03394

zbMATH Keywords

quasi-Monte Carlo methodscomponent-by-component algorithmlattice rules

Mathematics Subject Classification ID

Monte Carlo methods (65C05)

Abstract: The component-by-component (CBC) algorithm is a method for constructing good generating vectors for lattice rules for the efficient computation of high-dimensional integrals in the "weighted" function space setting introduced by Sloan and Wo'zniakowski. The "weights" that define such spaces are needed as inputs into the CBC algorithm, and so a natural question is, for a given problem how does one choose the weights? This paper introduces two new CBC algorithms which, given bounds on the mixed first derivatives of the integrand, produce a randomly shifted lattice rule with a guaranteed bound on the root-mean-square error. This alleviates the need for the user to specify the weights. We deal with "product weights" and "product and order dependent (POD) weights". Numerical tables compare the two algorithms under various assumed bounds on the mixed first derivatives, and provide rigorous upper bounds on the root-mean-square integration error.

Recommendations

• Random weights, robust lattice rules and the geometry of the \(cbcrc\) algorithm
• Fast CBC construction of randomly shifted lattice rules achieving \(\mathcal{O}(n^{- 1 + \delta})\) convergence for unbounded integrands over \(\mathbb{R}^s\) in weighted spaces with POD weights
• A note on the CBC-DBD construction of lattice rules with general positive weights
• Good lattice rules in weighted Korobov spaces with general weights
• Stability of lattice rules and polynomial lattice rules constructed by the component-by-component algorithm

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Cited in

(4)

• Fast CBC construction of randomly shifted lattice rules achieving \(\mathcal{O}(n^{- 1 + \delta})\) convergence for unbounded integrands over \(\mathbb{R}^s\) in weighted spaces with POD weights
• A Tool for Custom Construction of QMC and RQMC Point Sets
• Random weights, robust lattice rules and the geometry of the \(cbcrc\) algorithm
• A note on the CBC-DBD construction of lattice rules with general positive weights

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