Existence and construction of shifted lattice rules with an arbitrary number of points and bounded weighted star discrepancy for general decreasing weights

DOI10.1016/J.JCO.2011.02.001zbMATH Open1235.65007OpenAlexW2047549016MaRDI QIDQ555032FDOQ555032

Authors: Vasile Sinescu, Pierre L'Ecuyer 

Publication date: 22 July 2011

Published in: Journal of Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jco.2011.02.001

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• Construction of good rank-1 lattice rules based on the weighted star discrepancy

zbMATH Keywords

numerical integrationtractabilitycomponent-by-component constructionrank-1 lattice rulesquasi-Monte Carlo methodstar discrepancyhigh-dimensional integrals

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Pseudo-random numbers; Monte Carlo methods (11K45)

Cites Work

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• Infinite-dimensional quadrature and approximation of distributions
• When are quasi-Monte Carlo algorithms efficient for high dimensional integrals?
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• Fast component-by-component construction of rank-1 lattice rules with a non-prime number of points
• On the step-by-step construction of quasi--Monte Carlo integration rules that achieve strong tractability error bounds in weighted Sobolev spaces
• Fast algorithms for component-by-component construction of rank-1 lattice rules in shift-invariant reproducing kernel Hilbert spaces
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• Liberating the dimension
• Quasi-Monte Carlo methods with applications in finance
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• Good lattice rules based on the general weighted star discrepancy
• Multi-level Monte Carlo algorithms for infinite-dimensional integration on \(\mathbb R^{\mathbb N}\)
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• Finite-order weights imply tractability of multivariate integration
• The existence of good extensible rank-1 lattices
• Existence of good lattice points in the sense of Hlawka
• Good lattice rules with a composite number of points based on the product weighted star discrepancy
• Shifted lattice rules based on a general weighted discrepancy for integrals over Euclidean space
• Construction algorithms for good extensible lattice rules
• Tractability of quasilinear problems. I: General results

Cited In (12)

• Quasi-Monte Carlo methods for high-dimensional integration: the standard (weighted Hilbert space) setting and beyond
• Construction schemes for weighted lattice rules
• Variance bounds and existence results for randomly shifted lattice rules
• Shifted lattice rules based on a general weighted discrepancy for integrals over Euclidean space
• Optimal multilevel randomized quasi-Monte-Carlo method for the stochastic drift-diffusion-Poisson system
• On equivalence of weighted anchored and ANOVA spaces of functions with mixed smoothness of order one in \(L_1\) or \(L_\infty\)
• On the choice of weights in a function space for quasi-Monte Carlo methods for a class of generalised response models in statistics
• Random weights, robust lattice rules and the geometry of the \(cbcrc\) algorithm
• On the distribution of integration error by randomly-shifted lattice rules
• On the Behavior of the Weighted Star Discrepancy Bounds for Shifted Lattice Rules
• Good lattice rules based on the general weighted star discrepancy
• Constructing lattice rules based on weighted degree of exactness and worst case error

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