A reduced fast component-by-component construction of lattice points for integration in weighted spaces with fast decreasing weights

DOI10.1016/J.CAM.2014.08.017zbMATH Open1300.65004arXiv1404.5497OpenAlexW2057875268MaRDI QIDQ458162FDOQ458162

Gunther Leobacher, Josef Dick, Peter Kritzer, Friedrich Pillichshammer

Publication date: 7 October 2014

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Abstract: Lattice rules and polynomial lattice rules are quadrature rules for approximating integrals over the $s$-dimensional unit cube. Since no explicit constructions of such quadrature methods are known for dimensions $s>2$, one usually has to resort to computer search algorithms. The fast component-by-component approach is a useful algorithm for finding suitable quadrature rules. We present a modification of the fast component-by-component algorithm which yields savings of the construction cost for (polynomial) lattice rules in weighted function spaces. The idea is to reduce the size of the search space for coordinates which are associated with small weights and are therefore of less importance to the overall error compared to coordinates associated with large weights. We analyze tractability conditions of the resulting QMC rules. Numerical results demonstrate the effectiveness of our method.

Full work available at URL: https://arxiv.org/abs/1404.5497

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zbMATH Keywords

numerical integrationquasi-Monte Carlo methodsnumerical resultquadrature rulescomponent-by-component algorithmpolynomial lattice rulesweighted reproducing kernel Hilbert spaces

Mathematics Subject Classification ID

Monte Carlo methods (65C05)

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Cited In (13)

• Constructing Embedded Lattice Rules for Multivariate Integration
• Very low truncation dimension for high dimensional integration under modest error demand
• Fast component-by-component construction of lattice algorithms for multivariate approximation with POD and SPOD weights
• A note on concatenation of quasi-Monte Carlo and plain Monte Carlo rules in high dimensions
• Constructing QMC Finite Element Methods for Elliptic PDEs with Random Coefficients by a Reduced CBC Construction
• Numerical integration in log-Korobov and log-cosine spaces
• On combined component-by-component constructions of lattice point sets
• On a projection-corrected component-by-component construction
• On a reduced component-by-component digit-by-digit construction of lattice point sets
• Digit-by-digit and component-by-component constructions of lattice rules for periodic functions with unknown smoothness
• Fast algorithms for component-by-component construction of rank-1 lattice rules in shift-invariant reproducing kernel Hilbert spaces
• Constructing lattice points for numerical integration by a reduced fast successive coordinate search algorithm
• The fast reduced QMC matrix-vector product

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