Randomly shifted lattice rules on the unit cube for unbounded integrands in high dimensions
This paper is concerned with quasi-Monte Carlo (QMC) integration on the unit cube for unbounded integrands. The worst-case error is studied for randomly shifted rank-1 lattice rules in a weighted tensor-product reproducing kernel Hilbert space, which possesses a specified boundary behavior of the unbounded integrands and the desired robustness property of QMC is established. Then a component-by-component algorithm of randomly shifted lattice rules is presented to achieve the worst-case error bound of order \(O(n^{-1/2})\). Two numerical experiments are presented to illustrate the proposed lattice rules. The limitation of the proposed algorithm is also discussed.
- Randomly shifted lattice rules for unbounded integrands
- Randomly shifted lattice rules with the optimal rate of convergence for unbounded integrands
- Constructing Randomly Shifted Lattice Rules in Weighted Sobolev Spaces
- Variance bounds and existence results for randomly shifted lattice rules
- 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 generalized discrepancy and quadrature error bound
- A Taylor space for multivariate integration
- Complexity of weighted approximation over \(\mathbb{R}\)
- Component-by-component construction of good lattice rules
- Constructing Randomly Shifted Lattice Rules in Weighted Sobolev Spaces
- Double exponential formulas for numerical integration
- Explicit cost bounds of algorithms for multivariate tensor product problems
- Fast algorithms for component-by-component construction of rank-1 lattice rules in shift-invariant reproducing kernel Hilbert spaces
- Finite-order weights imply tractability of multivariate integration
- Halton Sequences Avoid the Origin
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- Liberating the weights
- On the step-by-step construction of quasi--Monte Carlo integration rules that achieve strong tractability error bounds in weighted Sobolev spaces
- Randomization of lattice rules for numerical multiple integration
- Randomization of Number Theoretic Methods for Multiple Integration
- The effective dimension and quasi-Monte Carlo integration
- Tractability of integration in non-periodic and periodic weighted tensor product Hilbert spaces
- Tractability of multivariate integration for weighted Korobov classes
- Variance reduction via lattice rules
- When are quasi-Monte Carlo algorithms efficient for high dimensional integrals?
- On the distribution of integration error by randomly-shifted lattice rules
- 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
- Ian Sloan and Lattice Rules
- A Taylor space for multivariate integration
- A novel genetic search scheme based on nature-inspired evolutionary algorithms for binary self-dual codes
- Achieving high convergence rates by quasi-Monte Carlo and importance sampling for unbounded integrands
- Shifted lattice rules based on a general weighted discrepancy for integrals over Euclidean space
- Randomly shifted lattice rules for unbounded integrands
- Randomly shifted lattice rules with the optimal rate of convergence for unbounded integrands
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