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Where are the logs?

13 October 2021
Art B. Owen
Z. Pan
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Abstract

The commonly quoted error rates for QMC integration with an infinite low discrepancy sequence is O(n−1log⁡(n)r)O(n^{-1}\log(n)^r)O(n−1log(n)r) with r=dr=dr=d for extensible sequences and r=d−1r=d-1r=d−1 otherwise. Such rates hold uniformly over all ddd dimensional integrands of Hardy-Krause variation one when using nnn evaluation points. Implicit in those bounds is that for any sequence of QMC points, the integrand can be chosen to depend on nnn. In this paper we show that rates with any r<(d−1)/2r<(d-1)/2r<(d−1)/2 can hold when fff is held fixed as n→∞n\to\inftyn→∞. This is accomplished following a suggestion of Erich Novak to use some unpublished results of Trojan from the 1980s as given in the information based complexity monograph of Traub, Wasilkowski and Wo\'zniakowski. The proof is made by applying a technique of Roth with the theorem of Trojan. The proof is non constructive and we do not know of any integrand of bounded variation in the sense of Hardy and Krause for which the QMC error exceeds (log⁡n)1+ϵ/n(\log n)^{1+\epsilon}/n(logn)1+ϵ/n for infinitely many nnn when using a digital sequence such as one of Sobol's. An empirical search when d=2d=2d=2 for integrands designed to exploit known weaknesses in certain point sets showed no evidence that r>1r>1r>1 is needed. An example with d=3d=3d=3 and nnn up to 21002^{100}2100 might possibly require r>1r>1r>1.

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