Derandomised lattice rules for high dimensional integration

Abstract

We seek shifted lattice rules that are good for high dimensional integration over the unit cube in the setting of an unanchored weighted Sobolev space of functions with square-integrable mixed first derivatives. Many existing studies rely on random shifting of the lattice, whereas here we work with lattice rules with a deterministic shift. Specifically, we consider 'half-shifted' rules in which each component of the shift is an odd multiple of \(1/(2N)\) where \(N\) is the number of points in the lattice. By applying the principle that there is always at least one choice as good as the average, we show that for a given generating vector there exists a half-shifted rule whose squared worst-case error differs from the shift-averaged squared worst-case error by a term of only order \({1/N^2}\). We carry out numerical experiments where the generating vector is chosen component-by-component (CBC), as for randomly shifted lattices, and where the shift is chosen by a new `CBC for shift' algorithm. The numerical results are encouraging. References J. Dick, F. Y. Kuo, and I. H. Sloan. High-dimensional integration: The quasi-Monte Carlo way. Acta Numer., 22:133–288, 2013. doi:10.1017/S0962492913000044. J. Dick, D. Nuyens, and F. Pillichshammer. Lattice rules for nonperiodic smooth integrands. Numer. Math., 126(2):259–291, 2014. doi:10.1007/s00211-013-0566-0. T. Goda, K. Suzuki, and T. Yoshiki. Lattice rules in non-periodic subspaces of sobolev spaces. Numer. Math., 141(2):399–427, 2019. doi:10.1007/s00211-018-1003-1. F. Y. Kuo. Lattice rule generating vectors. URL http://web.maths.unsw.edu.au/ fkuo/lattice/index.html. D. Nuyens and R. Cools. Fast algorithms for component-by-component construction of rank-1 lattice rules in shift-invariant reproducing kernel Hilbert spaces. Math. Comput., 75:903–920, 2006. doi:10.1090/S0025-5718-06-01785-6. I. H. Sloan and S. Joe. Lattice methods for multiple integration. Oxford Science Publications. Clarendon Press and Oxford University Press, 1994. URL https://global.oup.com/academic/product/lattice-methods-for-multiple-integration-9780198534723. I. H. Sloan and H. Wozniakowski. When are quasi-Monte Carlo algorithms efficient for high dimensional integrals? J. Complex., 14(1):1–33, 1998. doi:10.1006/jcom.1997.0463. I. H. Sloan, F. Y. Kuo, and S. Joe. On the step-by-step construction of quasi-Monte Carlo integration rules that achieve strong tractability error bounds in weighted Sobolev spaces. Math. Comput., 71:1609–1641, 2002. doi:10.1090/S0025-5718-02-01420-5.