AN EXPLICIT CONSTRUCTION OF OPTIMAL ORDER QUASI-MONTE CARLO RULES FOR SMOOTH INTEGRANDS

作者：Goda Takashi^*; Suzuki Kosuke; Yoshiki Takehito

来源：SIAM Journal on Numerical Analysis, 2016, 54(4): 2664-2683.

DOI：10.1137/16M1060807

• quasi-Monte Carlo
• numerical integration
• higher order digital nets
• Sobolev space

In a recent paper by the authors, it is shown that there exists a quasi-Monte Carlo (QMC) rule which achieves the best possible rate of convergence for numerical integration in a reproducing kernel Hilbert space consisting of smooth functions. In this paper we provide an explicit construction of such an optimal order QMC rule. Our approach is to exploit both the decay and the sparsity of the Walsh coefficients of the reproducing kernel simultaneously. This can be done by applying digit interlacing composition due to Dick to digital nets with large minimum Hamming and Niederreiter-Rosenbloom-Tsfasman metrics due to Chen and Skriganov. To our best knowledge, our construction gives the first QMC rule which achieves the best possible convergence in this function space.

• 出版日期2016