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Scrambled Geometric Net Integration Over General Product Spaces

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Abstract

Quasi-Monte Carlo (QMC) sampling has been developed for integration over \([0,1]^s\) where it has superior accuracy to Monte Carlo (MC) for integrands of bounded variation. Scrambled net quadrature allows replication-based error estimation for QMC with at least the same accuracy and for smooth enough integrands even better accuracy than plain QMC. Integration over triangles, spheres, disks and Cartesian products of such spaces is more difficult for QMC because the induced integrand on a unit cube may fail to have the desired regularity. In this paper, we present a construction of point sets for numerical integration over Cartesian products of s spaces of dimension d, with triangles (\(d=2\)) being of special interest. The point sets are transformations of randomized (t, m, s)-nets using recursive geometric partitions. The resulting integral estimates are unbiased, and their variance is o(1 / n) for any integrand in \(L^2\) of the product space. Under smoothness assumptions on the integrand, our randomized QMC algorithm has variance \(O(n^{-1 - 2/d} (\log n)^{s-1})\), for integration over s-fold Cartesian products of d-dimensional domains, compared to \(O(n^{-1})\) for ordinary MC.

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Acknowledgments

This work was supported by the US National Science Foundation grant DMS-1407397.

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  1. Department of Statistics, Stanford University, Stanford, CA, 94305, USA

    Kinjal Basu & Art B. Owen

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  1. Kinjal Basu
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  2. Art B. Owen
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Correspondence to Art B. Owen.

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Communicated by Ian Sloan.

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Basu, K., Owen, A.B. Scrambled Geometric Net Integration Over General Product Spaces. Found Comput Math 17, 467–496 (2017). https://doi.org/10.1007/s10208-015-9293-5

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  • DOI: https://doi.org/10.1007/s10208-015-9293-5

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