Weighted integration over a hyperrectangle based on digital nets and sequences

DOI10.1016/J.CAM.2021.113509zbMATH Open1467.65019arXiv2009.06993OpenAlexW3134385888MaRDI QIDQ2020573FDOQ2020573

Friedrich Pillichshammer, Josef Dick

Publication date: 23 April 2021

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Abstract: Quasi-Monte Carlo (QMC) methods are equal weight quadrature rules to approximate integrals over the unit cube with respect to the uniform measure. In this paper we discuss QMC integration with respect to general product measures defined on an arbitrary cube. We only require that the cumulative distribution function is invertible. We develop a worst-case error bound and study the dependence of the error on the number of points and the dimension for digital nets and sequences as well as polynomial lattice point sets, which are mapped to the domain using the inverse cumulative distribution function. We do not require any smoothness properties of the probability density function and the worst-case error does not depend on the particular choice of density function and its smoothness. The component-by-component construction of polynomial lattice rules is based on a criterion which depends only on the size of the cube but is otherwise independent of the product measure.

Full work available at URL: https://arxiv.org/abs/2009.06993

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zbMATH Keywords

numerical integrationquasi-Monte Carlotractabilityworst-case errordigital netpolynomial lattice point set

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical integration (65D30) Pseudo-random numbers; Monte Carlo methods (11K45)

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Cited In (2)

• Title not available (Why is that?)
• A new multivariate quadrature rule for calculating statistical moments of stochastic response

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