On a projection-corrected component-by-component construction

DOI10.1016/J.JCO.2015.08.001zbMATH Open1329.65007arXiv1502.04396OpenAlexW1679376338MaRDI QIDQ895985FDOQ895985

Authors: Josef Dick, Peter Kritzer 

Publication date: 11 December 2015

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

Abstract: The component-by-component construction is the standard method of finding good lattice rules or polynomial lattice rules for numerical integration. Several authors have reported that in numerical experiments the generating vector sometimes has repeated components. We study a variation of the classical component-by-component algorithm for the construction of lattice or polynomial lattice point sets where the components are forced to differ from each other. This avoids the problem of having projections where all quadrature points lie on the main diagonal. Since the previous results on the worst-case error do not apply to this modified algorithm, we prove such an error bound here. We also discuss further restrictions on the choice of components in the component-by-component algorithm.

Full work available at URL: https://arxiv.org/abs/1502.04396

Recommendations

• On combined component-by-component constructions of lattice point sets
• Component-by-component construction of good lattice rules
• Construction algorithms for polynomial lattice rules for multivariate integration
• On the component by component construction of polynomial lattice point sets for numerical integration in weighted Sobolev spaces
• Component-by-component construction of good lattice rules with a composite number of points

zbMATH Keywords

numerical integrationerror boundnumerical experimentcomponent-by-component algorithmlattice point setsquasi-Monte Carlo methodpolynomial lattice point sets

Mathematics Subject Classification ID

Monte Carlo methods (65C05)

Cites Work

• Title not available (Why is that?)
• Quasi-Monte Carlo Finite Element Methods for a Class of Elliptic Partial Differential Equations with Random Coefficients
• When are quasi-Monte Carlo algorithms efficient for high dimensional integrals?
• Lattice rules for nonperiodic smooth integrands
• Computational Higher Order Quasi-Monte Carlo Integration
• Title not available (Why is that?)
• Tractability of multivariate problems. Volume II: Standard information for functionals.
• Higher Order QMC Petrov--Galerkin Discretization for Affine Parametric Operator Equations with Random Field Inputs
• Component-by-component constructions achieve the optimal rate of convergence for multivariate integration in weighted Korobov and Sobolev spaces
• Fast component-by-component construction of rank-1 lattice rules with a non-prime number of points
• Fast algorithms for component-by-component construction of rank-1 lattice rules in shift-invariant reproducing kernel Hilbert spaces
• A reduced fast component-by-component construction of lattice points for integration in weighted spaces with fast decreasing weights
• High-dimensional integration: The quasi-Monte Carlo way
• On the convergence rate of the component-by-component construction of good lattice rules
• Good lattice rules in weighted Korobov spaces with general weights
• The construction of good extensible rank-1 lattices
• Fast component-by-component construction, a reprise for different kernels
• Good interlaced polynomial lattice rules for numerical integration in weighted Walsh spaces
• Construction of interlaced scrambled polynomial lattice rules of arbitrary high order
• The construction of extensible polynomial lattice rules with small weighted star discrepancy

Cited In (6)

• A note on concatenation of quasi-Monte Carlo and plain Monte Carlo rules in high dimensions
• Higher order quasi-Monte Carlo integration for Bayesian PDE inversion
• On combined component-by-component constructions of lattice point sets
• Computational Higher Order Quasi-Monte Carlo Integration
• Component-by-component construction of good lattice rules
• Fast QMC Matrix-Vector Multiplication

This page was built for publication: On a projection-corrected component-by-component construction

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q895985)