A computable figure of merit for quasi-Monte Carlo point sets

DOI10.1090/S0025-5718-2013-02774-3MaRDI QIDQ5401700zbMATH OpenFDO

Authors Makoto Matsumoto, Mutsuo Saito, Kyle Matoba

Publication date 12 March 2014

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

Full work available at URL https://arxiv.org/abs/1109.3873

zbMATH Keywords

numerical integrationquasi-Monte Carlodigital netsWalsh functionscomputational financefigure of meritlow discrepancy sequencesWAFOM

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical integration (65D30) Irregularities of distribution, discrepancy (11K38) Pseudo-random numbers; Monte Carlo methods (11K45) Numerical methods for discrete and fast Fourier transforms (65T50)

Abstract: Let $mathcalPsubset[0,1{)}^S$ be a finite point set of cardinality $N$ in an $S$-dimensional cube, and let $f:[0,1{)}^{S}omathbbR$ be an integrable function. A QMC integration of $f$ by $mathcalP$ is the average of values of $f$ at each point in $mathcalP$, which approximates the integration of $f$ over the cube. Assume that $mathcalP$ is constructed from an $mathbbF2$-vector space $Psubset(F{2}^n{)}^S$ by means of a digital net with $n$-digit precision. As an $n$-digit discretized version of Josef Dick's method, we introduce Walsh figure of merit (WAFOM) $extnormalWF(P)$ of $P$, which satisfies a Koksma-Hlawka type inequality, namely, QMC integration error is bounded by $C_{S,n}||f|{|}_{n}extnormalWF(P)$ under $n$-smoothness of $f$, where $C_{S,n}$ is a constant depending only on $S,n$. We show a Fourier inversion formula for $extnormalWF(P)$ which is computable in $O(nSN)$ steps. This effectiveness enables us a random search for $P$ with small value of $extnormalWF(P)$, which would be difficult for other figures of merit such as discrepancy. From an analogy to coding theory, we expect that random search may find better point sets than mathematical constructions. In fact, a na"{i}ve search finds point sets $P$ with small $extnormalWF(P)$. In experiments, we show better performance of these point sets in QMC integration than widely used QMC rules. We show some experimental evidence on the effectiveness of our point sets to even non-smooth integrands appearing in finance.

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Cited in

(16)

• Approximation of quasi-Monte Carlo worst case error in weighted spaces of infinitely times smooth functions
• A quasi-Monte Carlo method for computing areas of point-sampled surfaces
• Existence of higher order convergent quasi-Monte Carlo rules via Walsh figure of merit
• scientific article; zbMATH DE number 1390116 (Why is no real title available?)
• An explicit construction of point sets with large minimum Dick weight
• WAFOM over abelian groups for quasi-Monte Carlo point sets
• A search for extensible low-WAFOM point sets
• Walsh figure of merit for digital nets: an easy measure for higher order convergent QMC
• The mean square quasi-Monte Carlo error for digitally shifted digital nets
• A New Quasi-Monte Carlo Technique Based on Nonnegative Least Squares and Approximate Fekete Points
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• A lower bound on WAFOM
• Quasi-Monte Carlo point sets with small \(t\)-values and WAFOM
• Computing the probability of union in the $n$-dimensional Euclidean space for application of the multivariate quantile: $p$-level efficient points
• A Universal Median Quasi-Monte Carlo Integration

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