English

A randomised lattice rule algorithm with pre-determined generating vector and random number of points for Korobov spaces with $0 < \alpha \le 1/2$

Numerical Analysis 2024-01-02 v3 Numerical Analysis

Abstract

In previous work (Kuo, Nuyens, Wilkes, 2023), we showed that a lattice rule with a pre-determined generating vector but random number of points can achieve the near optimal convergence of O(nα1/2+ϵ)O(n^{-\alpha-1/2+\epsilon}), ϵ>0\epsilon > 0, for the worst case expected error, commonly referred to as the randomised error, for numerical integration of high-dimensional functions in the Korobov space with smoothness α>1/2\alpha > 1/2. Compared to the optimal deterministic rate of O(nα+ϵ)O(n^{-\alpha+\epsilon}), ϵ>0\epsilon > 0, such a randomised algorithm is capable of an extra half in the rate of convergence. In this paper, we show that a pre-determined generating vector also exists in the case of 0<α1/20 < \alpha \le 1/2. Also here we obtain the near optimal convergence of O(nα1/2+ϵ)O(n^{-\alpha-1/2+\epsilon}), ϵ>0\epsilon > 0; or in more detail, we obtain O(rnα1/2+1/(2r)+ϵ)O(\sqrt{r} \, n^{-\alpha-1/2+1/(2r)+\epsilon'}) which holds for any choices of ϵ>0\epsilon' > 0 and rNr \in \mathbb{N} with r>1/(2α)r > 1/(2\alpha).

Keywords

Cite

@article{arxiv.2308.03138,
  title  = {A randomised lattice rule algorithm with pre-determined generating vector and random number of points for Korobov spaces with $0 < \alpha \le 1/2$},
  author = {Dirk Nuyens and Laurence Wilkes},
  journal= {arXiv preprint arXiv:2308.03138},
  year   = {2024}
}