Numerical integration in log-Korobov and log-cosine spaces

DOI10.1007/S11075-015-9972-YzbMATH Open1339.65008arXiv1411.2715OpenAlexW2020675975MaRDI QIDQ907580FDOQ907580

Friedrich Pillichshammer, Peter Kritzer, Gunther Leobacher, Josef Dick

Publication date: 25 January 2016

Published in: Numerical Algorithms (Search for Journal in Brave)

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.

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)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Theory of Reproducing Kernels
• Introduction to Quasi-Monte Carlo Integration and Applications
• Quasi-Monte Carlo Finite Element Methods for a Class of Elliptic Partial Differential Equations with Random Coefficients
• Lattice rules for nonperiodic smooth integrands
• A generalized discrepancy and quadrature error bound
• Tractability of multivariate problems. Volume I: Linear information
• Tractability of multivariate problems. Volume II: Standard information for functionals.
• Tractability of multivariate integration for periodic functions
• Component-by-component construction of good lattice rules
• Component-by-component constructions achieve the optimal rate of convergence for multivariate integration in weighted Korobov and Sobolev spaces
• 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
• Constructing Randomly Shifted Lattice Rules in Weighted Sobolev Spaces
• The construction of good extensible rank-1 lattices
• Constructing Embedded Lattice Rules for Multivariate Integration
• Tractability of multivariate integration for weighted Korobov classes

Cited In (1)

• Proof techniques in quasi-Monte Carlo theory

Recommendations

• Numerical solution of integral equations with logarithmic-, Cauchy- and Hadamard-type singularities 👍 👎
• Numerical solution of integral equations with a logarithmic kernel by the method of arbitrary collocation points 👍 👎
• The numerical evaluation of a class of logarithmically singular integral transforms 👍 👎
• Numerical evaluation of line integrals with a logarithmic singularity 👍 👎
• Title not available (Why is that?) 👍 👎
• Title not available (Why is that?) 👍 👎
• Title not available (Why is that?) 👍 👎
• Title not available (Why is that?) 👍 👎
• Title not available (Why is that?) 👍 👎
• Title not available (Why is that?) 👍 👎

This page was built for publication: Numerical integration in log-Korobov and log-cosine spaces

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q907580)