On the step-by-step construction of quasi--Monte Carlo integration rules that achieve strong tractability error bounds in weighted Sobolev spaces

DOI10.1090/S0025-5718-02-01420-5zbMATH Open1011.65001MaRDI QIDQ3147178FDOQ3147178

Stephen Joe, Ian H. Sloan, F. Y. Kuo

Publication date: 18 September 2002

Published in: Mathematics of Computation (Search for Journal in Brave)

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algorithm weighted Sobolev space worst-case errors quasi-Monte Carlo integration rule shifted rank-1 lattice rules strong tractability error bound

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical quadrature and cubature formulas (65D32) Analysis of algorithms and problem complexity (68Q25)

Cites Work

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A generalized discrepancy and quadrature error bound
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Component-by-component construction of good lattice rules
Intractability results for integration and discrepancy
Title not available (Why is that?)
Convergence on a deformed Newton method
Tractability of multivariate integration for weighted Korobov classes
Recent advances in numerical methods and applications. Proceedings of the 4th international conference, NMA '98, Sofia, Bulgaria, August 19--23, 1998

Cited In (57)

Error analysis on scrambled quasi-Monte Carlo quadrature rules using Sobol points
Stability of lattice rules and polynomial lattice rules constructed by the component-by-component algorithm
Construction algorithms for polynomial lattice rules for multivariate integration
Ian Sloan and Lattice Rules
The Analysis of Vertex Modified Lattice Rules in a Non-periodic Sobolev Space
Constructions of general polynomial lattices for multivariate integration
Strong Tractability of Quasi‐Monte Carlo Quadrature Using Nets for Certain Banach Spaces
On Korobov Lattice Rules in Weighted Spaces
Reducing the construction cost of the component-by-component construction of good lattice rules
Some Results on the Complexity of Numerical Integration
Good lattice rules in weighted Korobov spaces with general weights
On Figures of Merit for Randomly-Shifted Lattice Rules
Quasi-Monte Carlo methods for high-dimensional integration: the standard (weighted Hilbert space) setting and beyond
A component-by-component approach to efficient numerical integration over products of spheres
On obtaining quadratic and cubic error convergence using weighted Kronecker-sequences
Discrepancy bounds for a class of negatively dependent random points including Latin hypercube samples
Shifted lattice rules based on a general weighted discrepancy for integrals over Euclidean space
Existence and construction of shifted lattice rules with an arbitrary number of points and bounded weighted star discrepancy for general decreasing weights
Constructing Randomly Shifted Lattice Rules in Weighted Sobolev Spaces
ANOVA Decomposition of Convex Piecewise Linear Functions
Intermediate rank lattice rules and applications to finance
Very low truncation dimension for high dimensional integration under modest error demand
Fast component-by-component construction, a reprise for different kernels
Open type quasi-Monte Carlo integration based on Halton sequences in weighted Sobolev spaces
Calculation of Discrepancy Measures and Applications
\(I\)-binomial scrambling of digital nets and sequences
Tent-transformed lattice rules for integration and approximation of multivariate non-periodic functions
Discrepancy Theory and Quasi-Monte Carlo Integration
Quasi-Monte Carlo methods can be efficient for integration over products of spheres
On the convergence rate of the component-by-component construction of good lattice rules
The construction of good extensible Korobov rules
Quasi-Monte Carlo tractability of high dimensional integration over products of simplices
Multilevel QMC with Product Weights for Affine-Parametric, Elliptic PDEs
Multivariate integration in weighted Hilbert spaces based on Walsh functions and weighted Sobolev spaces
Component-by-component constructions achieve the optimal rate of convergence for multivariate integration in weighted Korobov and Sobolev spaces
Component-by-component construction of good lattice rules with a composite number of points
Randomly shifted lattice rules on the unit cube for unbounded integrands in high dimensions
Lattice rules for nonperiodic smooth integrands
Strong tractability of multivariate integration of arbitrary high order using digitally shifted polynomial lattice rules
Control variates for quasi-Monte Carlo (with comments and rejoinder)
Low discrepancy sequences in high dimensions: how well are their projections distributed?
Random weights, robust lattice rules and the geometry of the \(cbcrc\) algorithm
Strong tractability of integration using scrambled Niederreiter points
Component-by-component construction of randomized rank-1 lattice rules achieving almost the optimal randomized error rate
Lattice rule algorithms for multivariate approximation in the average case setting
My dream quadrature rule
Randomly shifted lattice rules for unbounded integrands
The effective dimension and quasi-Monte Carlo integration
Quasi-Monte Carlo methods with applications in finance
Open problems for tractability of multivariate integration.
Finite-order weights imply tractability of multivariate integration
Comparison of Point Sets and Sequences for Quasi-Monte Carlo and for Random Number Generation
Digit-by-digit and component-by-component constructions of lattice rules for periodic functions with unknown smoothness
A constructive approach to strong tractability using quasi-Monte Carlo algorithms
Constructing lattice rules based on weighted degree of exactness and worst case error
Liberating the weights
Construction of quasi-Monte Carlo rules for multivariate integration in spaces of permutation-invariant functions

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