Scrambled geometric net integration over general product spaces

DOI10.1007/S10208-015-9293-5zbMATH Open1373.65002arXiv1503.02737OpenAlexW2165477600MaRDI QIDQ2397747FDOQ2397747

Authors: Kinjal Basu, Art B. Owen 

Publication date: 23 May 2017

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

Abstract: Quasi-Monte Carlo (QMC) sampling has been developed for integration over $[0,1{]}^s$ where it has superior accuracy to Monte Carlo (MC) for integrands of bounded variation. Scrambled net quadrature gives allows replication based error estimation for QMC with at least the same accuracy and for smooth enough integrands even better accuracy than plain QMC. Integration over triangles, spheres, disks and Cartesian products of such spaces is more difficult for QMC because the induced integrand on a unit cube may fail to have the desired regularity. In this paper, we present a construction of point sets for numerical integration over Cartesian products of $s$ spaces of dimension $d$, with triangles ($d=2$) being of special interest. The point sets are transformations of randomized $(t,m,s)$-nets using recursive geometric partitions. The resulting integral estimates are unbiased and their variance is $o(1/n)$ for any integrand in $L^2$ of the product space. Under smoothness assumptions on the integrand, our randomized QMC algorithm has variance $O(n^{-1-2/d}(logn{)}^{s-1})$, for integration over $s$-fold Cartesian products of $d$-dimensional domains, compared to $O(n^{-1})$ for ordinary Monte Carlo.

Full work available at URL: https://arxiv.org/abs/1503.02737

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zbMATH Keywords

error estimationdigital netsmultiresolutionvan der Corput sequencequasi-Monte Carlo integrationscrambed netsSobol' extensionsplits and recursive splitting

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Irregularities of distribution, discrepancy (11K38) Pseudo-random numbers; Monte Carlo methods (11K45)

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Cited In (1)

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