A universal median quasi-Monte Carlo integration

09/27/2022
by   Takashi Goda, et al.
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We study quasi-Monte Carlo (QMC) integration over the multi-dimensional unit cube in several weighted function spaces with different smoothness classes. We consider approximating the integral of a function by the median of several integral estimates under independent and random choices of the underlying QMC point sets (either linearly scrambled digital nets or infinite-precision polynomial lattice point sets). Even though our approach does not require any information on the smoothness and weights of a target function space as an input, we can prove a probabilistic upper bound on the worst-case error for the respective weighted function space. Our obtained rates of convergence are nearly optimal for function spaces with finite smoothness, and we can attain a dimension-independent super-polynomial convergence for a class of infinitely differentiable functions. This implies that our median-based QMC rule is universal in terms of both smoothness and weights in function spaces. Numerical experiments support our theoretical results.

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