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...
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Veröffentlicht in: | Mathematics of computation 2022-11, Vol.91 (338), p.2771 |
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Hauptverfasser: | , , |
Format: | Artikel |
Sprache: | eng |
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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 } |
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ISSN: | 0025-5718 1088-6842 |
DOI: | 10.1090/mcom/3769 |