Component-by-component construction of randomized rank-1 lattice rules achieving almost the optimal randomized error rate

We study a randomized quadrature algorithm to approximate the integral of periodic functions defined over the high-dimensional unit cube. Recent work by Kritzer, Kuo, Nuyens and Ullrich [J. Approx. Theory 240 (2019), pp. 96–113] shows that rank-1 lattice rules with a randomly chosen number of points...

Ausführliche Beschreibung

Gespeichert in:
Bibliographische Detailangaben
Veröffentlicht in:Mathematics of computation 2022-11, Vol.91 (338), p.2771
Hauptverfasser: Dick, Josef, Goda, Takashi, Suzuki, Kosuke
Format: Artikel
Sprache:eng
Online-Zugang:Volltext
Tags: Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
Beschreibung
Zusammenfassung:We study a randomized quadrature algorithm to approximate the integral of periodic functions defined over the high-dimensional unit cube. Recent work by Kritzer, Kuo, Nuyens and Ullrich [J. Approx. Theory 240 (2019), pp. 96–113] shows that rank-1 lattice rules with a randomly chosen number of points and good generating vector achieve almost the optimal order of the randomized error in weighted Korobov spaces, and moreover, that the error is bounded independently of the dimension if the weight parameters, \gamma _j, satisfy the summability condition \sum _{j=1}^{\infty }\gamma _j^{1/\alpha }
ISSN:0025-5718
1088-6842
DOI:10.1090/mcom/3769