Hiding the weights -- CBC black box algorithms with a guaranteed error bound
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Publication:1996952
DOI10.1016/J.MATCOM.2016.06.005zbMATH Open1482.65004arXiv1810.03394OpenAlexW2460104959MaRDI QIDQ1996952FDOQ1996952
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)
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.
Full work available at URL: https://arxiv.org/abs/1810.03394
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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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