Quasi–Monte Carlo Numerical Integration on \mathbb{R}^s: Digital Nets and Worst-Case Error

DOI10.1137/100789853MaRDI QIDQ3097475zbMATH OpenOpenAlexFDO

Authors Josef Dick

Publication date 10 November 2011

Published in SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1003.4783

zbMATH Keywords

digital netnumerical integrationquasi-Monte CarloWalsh model

Mathematics Subject Classification ID

Irregularities of distribution, discrepancy (11K38) Pseudo-random numbers; Monte Carlo methods (11K45) Monte Carlo methods (65C05) Numerical integration (65D30)

Abstract: Quasi-Monte Carlo rules are equal weight quadrature rules defined over the domain $[0,1{]}^s$. Here we introduce quasi-Monte Carlo type rules for numerical integration of functions defined on $mathbb{R}^s$. These rules are obtained by way of some transformation of digital nets such that locally one obtains qMC rules, but at the same time, globally one also has the required distribution. We prove that these rules are optimal for numerical integration in fractional Besov type spaces. The analysis is based on certain tilings of the Walsh phase plane.

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