Worst-case error for unshifted lattice rules without randomisation

DOI10.1007/978-3-030-38230-8_6MaRDI QIDQ6309688arXivFDO

Authors Yoshihito Kazashi, Ian H. Sloan

Publication date 14 November 2018

Published in arXiv

Full work available at URL https://doi.org/10.1007/978-3-030-38230-8_6

Mathematics Subject Classification ID

Probabilistic methods, stochastic differential equations (65Cxx)

arXiv classification

math.NA

Abstract: An existence result is presented for the worst-case error of lattice rules for high dimensional integration over the unit cube, in an unanchored weighted space of functions with square-integrable mixed first derivatives. Existing studies rely on random shifting of the lattice to simplify the analysis, whereas in this paper neither shifting nor any other form of randomisation is considered. Given that a certain number-theoretic conjecture holds, it is shown that there exists an $N$-point rank-one lattice rule which gives a worst-case error of order $1/sqrtN$ up to a (dimension-independent) logarithmic factor. Numerical results suggest that the conjecture is plausible.

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