Abstract
In 2001 Heinrich, Novak, Wasilkowski and Woźniakowski proved that the inverse of the discrepancy depends linearly on the dimension, by showing that a Monte Carlo point set \(\mathcal{P}\) of N points in the s-dimensional unit cube satisfies the discrepancy bound \(D_{N}^{{\ast}s}(\mathcal{P}) \leq c_{\mathrm{abs}}{s}^{1/2}{N}^{-1/2}\) with positive probability. Later their results were generalized by Dick to the case of double infinite random matrices. In the present paper we give asymptotically optimal bounds for the discrepancy of such random matrices, and give estimates for the corresponding probabilities. In particular we prove that the N × s-dimensional projections \(\mathcal{P}_{N,s}\) of a double infinite random matrix satisfy the discrepancy estimate
for all N and s with positive probability. This improves the bound \(D_{N}^{{\ast}s}(\mathcal{P}_{N,s}) \leq {\left (c_{\mathrm{abs}}\,\ln N\right )}^{1/2}{s}^{1/2}{N}^{-1/2}\) given by Dick. Additionally, we show how our approach can be used to show the existence of completely uniformly distributed sequences of small discrepancy which find applications in Markov Chain Monte Carlo.
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Acknowledgements
The first author is supported by the Austrian Research Foundation (FWF), Project S9603-N23.
The questions considered in the present paper arose during discussions with several colleagues at the MCQMC 2012 conference. We particularly want to thank Josef Dick for pointing out to us the connection between the discrepancy of random matrices, complete uniform distribution and Markov Chain Monte Carlo. Finally, we wish to express our gratitude to the two anonymous referees who helped to improve the presentation of the paper.
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Aistleitner, C., Weimar, M. (2013). Probabilistic Star Discrepancy Bounds for Double Infinite Random Matrices. In: Dick, J., Kuo, F., Peters, G., Sloan, I. (eds) Monte Carlo and Quasi-Monte Carlo Methods 2012. Springer Proceedings in Mathematics & Statistics, vol 65. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-41095-6_10
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DOI: https://doi.org/10.1007/978-3-642-41095-6_10
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