Tag Archives: digital net

Digital Nets and Sequences Preprint

A complete preprint of the book

is now available here. The final published version can be obtained directly from Cambridge University Press here.

The preprint version differs of course from the final version, for instance, the page numbers are different. However, the numbering of Chapters, Sections, Theorems, Lemmas, Corollaries, Definitions and Examples is the same in both versions. The list of corrections is for the published version. We do not have a separate list for the preprint version (though the corrections for the published version also apply to the preprint version).

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QMC rules over R^s: Matlab code and numerical example

In this post you can find a Matlab code for constructing digital nets on \mathbb{R}^s which was recently proposed in J. Dick, Quasi-Monte Carlo numerical integration on \mathbb{R}^s: digital nets and worst-case error. Submitted, 2010. See the previous post where an explanation of the method and a link to the paper can be found. In the numerical example we consider a simple three-dimensional integral. In this example the computation time with the new method is reduced by a factor of ten and additionally the integration error is also reduced. The numerical result in the paper shows that, for the example considered there, that the computation time can be reduced from two and a half minutes to less than two seconds for a certain given error level. Continue reading

Higher order scrambling

Recently I uploaded the paper

This paper deals with a generalization of Owen’s scrambling algorithm which improves on the convergence rate of the root mean square error for smooth integrands. The bound on the root mean square error is best possible (apart from the power of the \log N factor) and this can also be observed from some simple numerical examples shown in the paper (note that the figures in the paper show the standard deviation (or root mean square error) and not the variance of the estimator). In this post you can also find Matlab programs which generate the quadrature points introduced in this paper and a program to generate the numerical results shown in the paper. Continue reading

The connection between the logarithmic Walsh degree of exactness, the t value of digital nets and an idea for future research

In this entry we show how the Walsh degree of a digital net is connected to its t value. This can lead to future research by using ideas developed for finding lattice rules with large trigonometric degree. Continue reading

A Construction of Polynomial Lattice Rules with Small Gain Coefficients

Recently J. Baldeaux and myself submitted the manuscript titled A Construction of Polynomial Lattice Rules with Small Gain Coefficients.

In this paper we construct polynomial lattice rules which have, in some sense, small gain coefficients using a component-by-component approach. The gain coefficients, as introduced by Art Owen, indicate to what degree the method improves upon Monte Carlo. We show that the variance of an estimator based on a scrambled polynomial lattice rule constructed component-by-component decays at a rate of N^{-(2\alpha + 1) +\delta}, for all \delta >0, assuming that the function under consideration bounded fractional variation of order \alpha and where N denotes the number of quadrature points. We give some further comments on the paper. Continue reading

Quasi-Monte Carlo for R^s: digital nets and worst-case error

Recently I submitted the paper titled Quasi-Monte Carlo numerical integration over \mathbb{R}^s: digital nets and worst-case error. I will give some heuristic explanation of the results in this paper. Interesting in this context is also the sparse grid approach from the PhD thesis of Markus Holtz (supervised by Prof. Michael Griebel).

Therein I aim to develop a theory on quasi-Monte Carlo integration over \mathbb{R}^s. The idea is to transform a digital net from [0,1]^s to \mathbb{R}^s such that in elementary intervals of the form \displaystyle \prod_{i=1}^s [A b^j, (A+1) b^j) one has a digitally shifted digital net, and at the same time, globally one has a given (discretized) distribution. Continue reading