English

Derandomised lattice rules for high dimensional integration

Numerical Analysis 2019-03-14 v1

Abstract

We seek shifted lattice rules that are good for high dimensional integration over the unit cube in the setting of an unanchored weighted Sobolev space of functions with square-integrable mixed first derivatives. Many existing studies rely on random shifting of the lattice, whereas here we work with lattice rules with a deterministic shift. Specifically, we consider "half-shifted" rules, in which each component of the shift is an odd multiple of 1/(2N)1/(2N), where NN is the number of points in the lattice. We show, by applying the principle that \emph{there is always at least one choice as good as the average}, that for a given generating vector there exists a half-shifted rule whose squared worst-case error differs from the shift-averaged squared worst-case error by a term of order only 1/N2{1/N^2}. Numerical experiments, in which the generating vector is chosen component-by-component (CBC) as for randomly shifted lattices and then the shift by a new "CBC for shift" algorithm, yield encouraging results.

Keywords

Cite

@article{arxiv.1903.05145,
  title  = {Derandomised lattice rules for high dimensional integration},
  author = {Yoshihito Kazashi and Frances Y. Kuo and Ian H. Sloan},
  journal= {arXiv preprint arXiv:1903.05145},
  year   = {2019}
}
R2 v1 2026-06-23T08:06:13.348Z