English

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 n(s,\ve)n^*(s,\ve) satisfies the upper bound n(s,\ve)cabss\ve2n^*(s,\ve) \leq c_{\mathrm{abs}} s \ve^{-2}. This is equivalent to the fact that for any NN and ss there exists a set of NN points in [0,1]s[0,1]^s whose star-discrepancy is bounded by cabss1/2N1/2c_{\mathrm{abs}} s^{1/2} N^{-1/2}. 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 q(0,1)q \in (0,1) there exists an (explicitly stated) number c(q)c(q) such that the star-discrepancy of a random set of NN points in [0,1]s[0,1]^s is bounded by c(q)s1/2N1/2c(q) s^{1/2} N^{-1/2} with probability at least qq, uniformly in NN and ss.

Keywords

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}
}
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