Optimal quasi-Monte Carlo rules on order 2 digital nets for the numerical integration of multivariate periodic functions

DOI10.1007/S00211-015-0765-YMaRDI QIDQ304528zbMATH OpenOpenAlexFDO

Authors Aicke Hinrichs, Lev Markhasin, Jens Oettershagen, Tino Ullrich

Publication date 25 August 2016

Published in Numerische Mathematik (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1501.01800

zbMATH Keywords

numerical examplesdigital \((t,n,d)\)-netsFaber baseHaar baseperiodic Besov spaceQMC-optimal worst-case errorquasi Monte Carlo method

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Sobolev spaces and other spaces of ``smooth functions, embedding theorems, trace theorems (46E35) Pseudo-random numbers; Monte Carlo methods (11K45)

Abstract: We investigate quasi-Monte Carlo rules for the numerical integration of multivariate periodic functions from Besov spaces $S_{p,q}^{r}B(mathbb{T}^d)$ with dominating mixed smoothness $1/p<r<2$. We show that order 2 digital nets achieve the optimal rate of convergence $N^{-r}(logN{)}^{(d-1)(1-1/q)}$. The logarithmic term does not depend on $r$ and hence improves the known bound provided by J. Dick for the special case of Sobolev spaces $H_{extmix}^r(mathbb{T}^d)$. Secondly, the rate of convergence is independent of the integrability $p$ of the Besov space, which allows for sacrificing integrability in order to gain Besov regularity. Our method combines characterizations of periodic Besov spaces with dominating mixed smoothness via Faber bases with sharp estimates of Haar coefficients for the discrepancy function of higher order digital nets. Moreover, we provide numerical computations which indicate that this bound also holds for the case $r=2$.

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Cited in

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• rhalton
• Algorithm 247

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