English

Discrepancy of stratified samples from partitions of the unit cube

Statistics Theory 2021-02-01 v2 Number Theory Probability Statistics Theory

Abstract

We extend the notion of jittered sampling to arbitrary partitions and study the discrepancy of the related point sets. Let Ω=(Ω1,,ΩN)\mathbf{\Omega}=(\Omega_1,\ldots,\Omega_N) be a partition of [0,1]d[0,1]^d and let the iith point in P\mathcal{P} be chosen uniformly in the iith set of the partition (and stochastically independent of the other points), i=1,,Ni=1,\ldots,N. For the study of such sets we introduce the concept of a uniformly distributed triangular array and compare this notion to related notions in the literature. We prove that the expected Lp{\mathcal{L}_p}-discrepancy, ELp(PΩ)p\mathbb{E} {\mathcal{L}_p}(\mathcal{P}_{\mathbf{\Omega}})^p, of a point set PΩ\mathcal{P}_\mathbf{\Omega} generated from any equivolume partition Ω\mathbf{\Omega} is always strictly smaller than the expected Lp{\mathcal{L}_p}-discrepancy of a set of NN uniform random samples for p>1p>1. For fixed NN we consider classes of stratified samples based on equivolume partitions of the unit cube into convex sets or into sets with a uniform positive lower bound on their reach. It is shown that these classes contain at least one minimizer of the expected Lp{\mathcal{L}_p}-discrepancy. We illustrate our results with explicit constructions for small NN. In addition, we present a family of partitions that seems to improve the expected discrepancy of Monte Carlo sampling by a factor of 2 for every NN.

Keywords

Cite

@article{arxiv.2008.12026,
  title  = {Discrepancy of stratified samples from partitions of the unit cube},
  author = {Markus Kiderlen and Florian Pausinger},
  journal= {arXiv preprint arXiv:2008.12026},
  year   = {2021}
}

Comments

29 pages, 12 figures, revised manuscript