Reliable adaptive cubature using digital sequences

DOI10.1007/978-3-319-33507-0_18MaRDI QIDQ2957044zbMATH OpenOpenAlexFDO

Authors Fred J. Hickernell, Lluís Antoni Jiménez Rugama

Publication date 20 January 2017

Published in Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1410.8615

zbMATH Keywords

adaptive algorithmsautomatic algorithmscubaturedigital sequenceserror boundmultidimensional integrationnumerical examplesquasi-Monte Carlo methodsSobol' sequencesWalsh coefficients

Mathematics Subject Classification ID

Monte Carlo methods (65C05)

Abstract: Quasi-Monte Carlo cubature methods often sample the integrand using Sobol' (or other digital) sequences to obtain higher accuracy than IID sampling. An important question is how to conservatively estimate the error of a digital sequence cubature so that the sampling can be terminated when the desired tolerance is reached. We propose an error bound based on the discrete Walsh coefficients of the integrand and use this error bound to construct an adaptive digital sequence cubature algorithm. The error bound and the corresponding algorithm are guaranteed to work for integrands whose true Walsh coefficients satisfy certain cone conditions. Intuitively, these cone conditions imply that the ordered Walsh coefficients do not dip down for a long stretch and then jump back up. An upper bound on the cost of our new algorithm is given in terms of the emph{unknown} decay rate of the Walsh coefficients.

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Cited in

(10)

• Reliable error estimation for Sobol' indices
• Adaptive quasi-Monte Carlo finite element methods for parametric elliptic PDEs
• Fast automatic Bayesian cubature using lattice sampling
• Local adaption for approximation and minimization of univariate functions
• Adaptive Multidimensional Integration Based on Rank-1 Lattices
• Adaptive Quasi-Monte Carlo Methods for Cubature
• An Adaptive Algorithm Employing Continuous Linear Functionals
• Quasi-Monte Carlo Software
• Homogeneous algorithms and solvable problems on cones
• Challenges in developing great quasi-Monte Carlo software

Describes a project that uses

Uses Software

• GAIL
• GitHub

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