Probabilistic discrepancy bound for Monte Carlo point sets
Numerical Analysis
2012-11-07 v1 Probability
Abstract
By a profound result of Heinrich, Novak, Wasilkowski, and Wo{\'z}niakowski the inverse of the star-discrepancy satisfies the upper bound . This is equivalent to the fact that for any and there exists a set of points in whose star-discrepancy is bounded by . The proof is based on the observation that a random point set satisfies the desired discrepancy bound with positive probability. In the present paper we prove an applied version of this result, making it applicable for computational purposes: for any given number there exists an (explicitly stated) number such that the star-discrepancy of a random set of points in is bounded by with probability at least , uniformly in and .
Cite
@article{arxiv.1211.1058,
title = {Probabilistic discrepancy bound for Monte Carlo point sets},
author = {Christoph Aistleitner and Markus Hofer},
journal= {arXiv preprint arXiv:1211.1058},
year = {2012}
}