Numerical integration in log-Korobov and log-cosine spaces (original) (raw)

Abstract

Quasi-Monte Carlo (QMC) rules are equal weight quadrature rules for approximating integrals over the s_-dimensional unit cube [0, 1]s. One line of research studies the integration error of functions in the unit ball of so-called Korobov spaces, which are Hilbert spaces of periodic functions on [0, 1]s with square integrable partial mixed derivatives of order α. Using Parseval’s identity, this smoothness can be defined for all real numbers α > 1/2. In this setting, the condition α > 1/2 is necessary as otherwise the Korobov space contains discontinuous functions for which function evaluation is not well defined. This paper is concerned with more precise endpoint estimates of the integration error using QMC rules for Korobov spaces with α arbitrarily close to 1/2. To obtain such estimates we introduce a log-scale for function spaces with smoothness close to 1/2, which we call log-Korobov spaces. We show that lattice rules can be used to obtain an integration error of order \(\mathcal {O}(N^{-1/2} (\log N)^{-\mu (1-\lambda )/2})\) for any 1/μ < _λ_ ≤ 1, where _μ_ > 1 is a certain power in the log-scale. A second result is concerned with tractability of numerical integration for weighted Korobov spaces with product weights \((\gamma _{j})_{j \in \mathbb {N}}\). Previous results have shown that if \({\sum }_{j=1}^{\infty } \gamma _{j}^{\tau } < \infty \) for some 1/(2_α) < τ ≤ 1 one can obtain error bounds which are independent of the dimension. In this paper we give a more refined estimate for the case where τ is close to 1/(2_α_), namely we show dimension independent error bounds under the condition that \({\sum }_{j=1}^{\infty } \gamma _{j} \max \{1, \log \gamma _{j}^{-1}\}^{\mu (1-\lambda )} < \infty \) for some 1/μ < λ ≤ 1. The essential tool in our analysis is a log-scale Jensen’s inequality.The results described above also apply to integration in log-cosine spaces using tent-transformed lattice rules.

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Authors and Affiliations

  1. School of Mathematics and Statistics, The University of New South Wales, Sydney, 2052, NSW, Australia
    Josef Dick
  2. Department of Financial Mathematics and Applied Number Theory, Johannes Kepler University Linz, Altenbergerstr. 69, 4040, Linz, Austria
    Peter Kritzer, Gunther Leobacher & Friedrich Pillichshammer

Authors

  1. Josef Dick
  2. Peter Kritzer
  3. Gunther Leobacher
  4. Friedrich Pillichshammer

Corresponding author

Correspondence toPeter Kritzer.

Additional information

Josef Dick is the recipient of an Australian Research Council Queen Elizabeth II Fellowship (project number DP1097023).

P. Kritzer is supported by the Austrian Science Fund (FWF): Project F5506-N26, which is a part of the Special Research Program ”Quasi-Monte Carlo Methods: Theory and Applications”.

G. Leobacher is supported by the Austrian Science Fund (FWF): Project F5508-N26, which is a part of the Special Research Program ”Quasi-Monte Carlo Methods: Theory and Applications”.

F. Pillichshammer is supported by the Austrian Science Fund (FWF): Project F5509-N26, which is a part of the Special Research Program ”Quasi-Monte Carlo Methods: Theory and Applications”.

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Dick, J., Kritzer, P., Leobacher, G. et al. Numerical integration in log-Korobov and log-cosine spaces.Numer Algor 70, 753–775 (2015). https://doi.org/10.1007/s11075-015-9972-y

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