English

Optimal quasi-Monte Carlo rules on order 2 digital nets for the numerical integration of multivariate periodic functions

Numerical Analysis 2015-10-16 v2

Abstract

We investigate quasi-Monte Carlo rules for the numerical integration of multivariate periodic functions from Besov spaces Sp,qrB(Td)S^r_{p,q}B(\mathbb{T}^d) with dominating mixed smoothness 1/p<r<21/p<r<2. We show that order 2 digital nets achieve the optimal rate of convergence Nr(logN)(d1)(11/q)N^{-r} (\log N)^{(d-1)(1-1/q)}. The logarithmic term does not depend on rr and hence improves the known bound provided by J. Dick for the special case of Sobolev spaces Hmixr(Td)H^r_{\text{mix}}(\mathbb{T}^d). Secondly, the rate of convergence is independent of the integrability pp of the Besov space, which allows for sacrificing integrability in order to gain Besov regularity. Our method combines characterizations of periodic Besov spaces with dominating mixed smoothness via Faber bases with sharp estimates of Haar coefficients for the discrepancy function of higher order digital nets. Moreover, we provide numerical computations which indicate that this bound also holds for the case r=2r=2.

Keywords

Cite

@article{arxiv.1501.01800,
  title  = {Optimal quasi-Monte Carlo rules on order 2 digital nets for the numerical integration of multivariate periodic functions},
  author = {Aicke Hinrichs and Lev Markhasin and Jens Oettershagen and Tino Ullrich},
  journal= {arXiv preprint arXiv:1501.01800},
  year   = {2015}
}

Comments

7 figures in Num. Mathem., online 2015