Uniform Distribution Theory
Journal license

Journal

Uniform Distribution Theory


Volume
& Issue

Volume 2, Issue 1


Published
on


Pages

93-105


DOI

Article

Discrepancy Between Qmc and Rqmc


Authors

Shu Tezuka Affiliation:
Faculty of Mathematics Kyushu University 744 Motooka, Nishi-ku, Fukuoka-shi, Fukuoka-ken JAPAN 819-0395


Abstract

We introduce a class of functions in d ≥ 3 dimensions which have arbitrary odd superposition effective dimensions between three and d inclusive. We prove that for the integration of any function in this class any Sobol’ points of a fixed length have zero error, whereas Owen’s scrambling of any Sobol’ points of the same length has the same variance of error as simple Monte Carlo meth- ods. Furthermore, for any function in the same class Owen’s scrambling of high- discrepancy points, which consist of d copies of the van der Corput points in base two, gives zero-variance estimates for the integration.


Keywords

Effective dimension, generalized Sobol’ sequences, high dimensional integrals.


Citation

Tezuka, S. (2007). Discrepancy between qmc and rqmc. Uniform Distribution Theory, 2(1), 93–105.

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