Derandomised lattice rules for high dimensional integration

arXiv1903.05145MaRDI QIDQ6315488FDOQ6315488

Authors: Yoshihito Kazashi, F. Y. Kuo, Ian H. Sloan 

Publication date: 12 March 2019

Abstract: We seek shifted lattice rules that are good for high dimensional integration over the unit cube in the setting of an unanchored weighted Sobolev space of functions with square-integrable mixed first derivatives. Many existing studies rely on random shifting of the lattice, whereas here we work with lattice rules with a deterministic shift. Specifically, we consider "half-shifted" rules, in which each component of the shift is an odd multiple of $1/(2N)$, where $N$ is the number of points in the lattice. We show, by applying the principle that emph{there is always at least one choice as good as the average}, that for a given generating vector there exists a half-shifted rule whose squared worst-case error differs from the shift-averaged squared worst-case error by a term of order only $1/N^2$. Numerical experiments, in which the generating vector is chosen component-by-component (CBC) as for randomly shifted lattices and then the shift by a new "CBC for shift" algorithm, yield encouraging results.

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