Numerical integration in log-Korobov and log-cosine spaces

DOI10.1007/S11075-015-9972-YzbMATH Open1339.65008OpenAlexW2020675975MaRDI QIDQ907580FDOQ907580

Authors Josef Dick, Peter Kritzer, Gunther Leobacher, Friedrich Pillichshammer 

Publication date 25 January 2016

Published in Numerical Algorithms (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1411.2715

zbMATH Keywords

numerical integrationquasi-Monte Carlo methodsreproducing kernel Hilbert spacestractabilityworst-case errorKorobov spaceslattice point ruleslog-cosine spaceslog-Korobov spacestent transformation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical quadrature and cubature formulas (65D32)

Abstract: QMC rules are equal weight quadrature rules for approximating integrals over $[0,1{]}^s$. One line of research studies the integration error of functions in the unit ball of so-called Korobov spaces, which are Hilbert spaces of periodic functions on $[0,1{]}^s$ with square integrable partial mixed derivatives of order $alpha$. Using Parseval's identity, this smoothness can be defined for all real numbers $alpha>1/2$. This condition is necessary as otherwise the Korobov space contains discontinuous functions for which function evaluation is not well defined. This paper is concerned with more precise endpoint estimates of the integration error using QMC rules for Korobov spaces with $alpha$ arbitrarily close to $1/2$. To obtain such estimates we introduce a $log$-scale for functions with smoothness close to $1/2$, which we call $log$-Korobov spaces. We show that lattice rules can be used to obtain an integration error of order $mathcalO(N^{-1/2}(logN{)}^{-mu(1-lambda)/2})$ for any $1/mu<lambdale1$, where $mu>1$ is a power in the $log$-scale. We also consider tractability of numerical integration for weighted Korobov spaces with product weights $(gamm{a}_j{)}_{jinmathbbN}$. It is known that if $su{m}_{j=1}^{i}nftygamm{a}_j^{a}u<infty$ for some $1/(2alpha)<aule1$ one can obtain error bounds which are independent of the dimension. In this paper we give a more refined estimate for the case where $au$ is close to $1/(2alpha)$, namely we show dimension independent error bounds under the condition that $su{m}_{j=1}^{i}nftygamm{a}_{j}max{1,loggamm{a}_j^{-1}}^{mu(1-lambda)}<infty$ for some $1/mu<lambdale1$. The essential tool in our analysis is a $log$-scale Jensen's inequality. The results described above also apply to integration in $log$-cosine spaces using tent-transformed lattice rules.

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Cited In (3)

• Proof techniques in quasi-Monte Carlo theory
• Lattice-based integration algorithms: Kronecker sequences and rank-1 lattices
• Lattice rules in non-periodic subspaces of Sobolev spaces

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