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Foundations of Computational Mathematics

, Volume 17, Issue 2, pp 467–496 | Cite as

Scrambled Geometric Net Integration Over General Product Spaces

  • Kinjal Basu
  • Art B. Owen
Article
  • 228 Downloads

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 (tms)-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.

Keywords

Discrepancy Multiresolution Rendering Scrambled net Quasi-Monte Carlo 

Mathematics Subject Classification

65D32 65M50 11K38 

Notes

Acknowledgments

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

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Copyright information

© SFoCM 2015

Authors and Affiliations

  1. 1.Department of StatisticsStanford UniversityStanfordUSA

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