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Error Bounds for quasi-Monte Carlo integration with nets
Author(s):
Christian
Lécot.
Journal:
Math. Comp.
65
(1996),
179-187.
MSC (1991):
Primary 65C05;
Secondary 11K38
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Abstract:
We analyze the error introduced by approximately calculating the -dimensional Lebesgue measure of a Jordan-measurable subset of . We give an upper bound for the error of a method using a -net, which is a set with a very regular distribution behavior. When the subset of is defined by some function of bounded variation on , the error is estimated by means of the variation of the function and the discrepancy of the point set which is used. A sharper error bound is established when a -net is used. Finally a lower bound of the error is given, for a method using a -net. The special case of the 2-dimensional Hammersley point set is discussed.
References:
- 1
- C. Lécot, A quasi-Monte Carlo method for the Boltzmann equation, Math. Comp. 56 (1991), 621--644, MR 91j:65008.
- 2
- W. J. Morokoff and R. E. Caflisch, A quasi-Monte Carlo approach to particle simulation of the heat equation, SIAM J. Numer. Anal. 30 (1993), 1558--1573, MR 94k:65009.
- 3
- H. Niederreiter, Point sets and sequences with small discrepancy, Monatsh. Math. 104 (1987), 273--337, MR 89c:11120.
- 4
- ------, Random number generation and quasi-Monte Carlo methods, SIAM, Philadelphia, PA, 1992, MR 93h:65008.
- 5
- H. Niederreiter and J. M. Wills, Diskrepanz und Distanz von Maßen bezüglich konvexer und Jordanscher Mengen, Math. Z. 144 (1975), 125--134; Berichtigung, ibid. 148 (1976), 99, MR 51:12763; MR 53:7996.
- 6
- W. M. Schmidt, Lectures on irregularities of distribution, Tata Institute of Fundamental Research, Bombay, 1977, MR 81d:10047.
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Additional Information:
Christian
Lécot
Affiliation:
address Laboratoire de Mathématiques, Université de Savoie, 73376 Le Bourget du Lac, France
Email:
lecot@univ-savoie.fr
DOI:
10.1090/S0025-5718-96-00690-4
PII:
S 0025-5718(96)00690-4
Keywords:
Quasi-Monte Carlo method,
$(t,
m,
s)$-nets,
discrepancy
Received by editor(s):
October 10, 1994
Received by editor(s) in revised form:
February 15, 1995
Copyright of article:
Copyright
1996,
American Mathematical Society
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