Quasi-Monte Carlo integration for twice differentiable functions over a triangle
Numerical Analysis
2019-12-09 v1
Abstract
We study quasi-Monte Carlo integration for twice differentiable functions defined over a triangle. We provide an explicit construction of infinite sequences of points including one by Basu and Owen (2015) as a special case, which achieves the integration error of order for any . Since a lower bound of order on the integration error holds for any linear quadrature rule, the upper bound we obtain is best possible apart from the factor. The major ingredient in our proof of the upper bound is the dyadic Walsh analysis of twice differentiable functions over a triangle under a suitable recursive partitioning.
Cite
@article{arxiv.1701.08562,
title = {Quasi-Monte Carlo integration for twice differentiable functions over a triangle},
author = {Takashi Goda and Kosuke Suzuki and Takehito Yoshiki},
journal= {arXiv preprint arXiv:1701.08562},
year = {2019}
}