Construction of scrambled polynomial lattice rules over F₂ with small mean square weighted L₂ discrepancy

DOI10.1007/S10543-013-0459-8MaRDI QIDQ398623zbMATH OpenOpenAlexFDO

Authors Takashi Goda

Publication date 15 August 2014

Published in BIT (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1301.3982

zbMATH Keywords

numerical experimentsnumerical integrationpolynomial lattice rulesrandomized quasi-Monte Carlo methodsmall mean square weighted \(\mathcal{L}_{2}\) discrepancy

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical integration (65D30) Numerical quadrature and cubature formulas (65D32)

Abstract: The $mathcal{L}_2$ discrepancy is one of several well-known quantitative measures for the equidistribution properties of point sets in the high-dimensional unit cube. The concept of weights was introduced by Sloan and Wo'{z}niakowski to take into account the relative importance of the discrepancy of lower dimensional projections. As known under the name of quasi-Monte Carlo methods, point sets with small weighted $mathcal{L}_2$ discrepancy are useful in numerical integration. This study investigates the component-by-component construction of polynomial lattice rules over the finite field $mathbb{F}_2$ whose scrambled point sets have small mean square weighted $mathcal{L}_2$ discrepancy. An upper bound on this discrepancy is proved, which converges at almost the best possible rate of $N^{-2+delta}$ for all $delta>0$, where $N$ denotes the number of points. Numerical experiments confirm that the performance of our constructed polynomial lattice point sets is comparable or even superior to that of Sobol' sequences.

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Cited in

(1)

• A reduced fast construction of polynomial lattice point sets with low weighted star discrepancy

Describes a project that uses

Uses Software

• sobol.cc

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