Hiroshima Mathematical Journal

Bounds on Walsh coefficients by dyadic difference and a new Koksma-Hlawka type inequality for Quasi-Monte Carlo integration

Takehito Yoshiki

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Abstract

In this paper we give a new Koksma-Hlawka type inequality for Quasi-Monte Carlo (QMC) integration. QMC integration of a function $f\colon[0,1)^s\rightarrow\mathbb{R}$ by a finite point set $\mathcal{P}\subset[0,1)^s$ is the approximation of the integral $I(f):=\int_{[0,1)^s}f(\mathbf{x})\,d\mathbf{x}$ by the average $I_{\mathcal{P}}(f):=\frac{1}{|\mathcal{P}|}\sum_{\mathbf{x} \in \mathcal{P}}f(\mathbf{x})$. We treat a certain class of point sets $\mathcal{P}$ called digital nets. A Koksma-Hlawka type inequality is an inequality providing an upper bound on the integration error $\text{Err}(f;\mathcal{P}):=I(f)-I_{\mathcal{P}}(f)$ of the form $|\text{Err}(f;\mathcal{P})|\le C\cdot \|f\|\cdot D(\mathcal{P})$. We can obtain a Koksma-Hlawka type inequality by estimating bounds on $|\hat{f}(\mathbf{k})|$, where $\hat{f}(\mathbf{k})$ is a generalized Fourier coefficient with respect to the Walsh system. In this paper we prove bounds on the Walsh coefficients $\hat{f}(\mathbf{k})$ by introducing an operator called ‘dyadic difference’ $\partial_{i,n}$. By converting dyadic differences $\partial_{i,n}$ to derivatives $\frac{\partial }{\partial x_i}$, we get a new bound on $|\hat{f}(\mathbf{k})|$ for a function $f$ whose mixed partial derivatives up to order $\alpha$ in each variable are continuous. This new bound is smaller than the known bound on $|\hat{f}(\mathbf{k})|$ under some instances. The new Koksma-Hlawka type inequality is derived using this new bound on the Walsh coefficients.

Article information

Source
Hiroshima Math. J., Volume 47, Number 2 (2017), 155-179.

Dates
Received: 8 November 2016
Revised: 7 December 2016
First available in Project Euclid: 7 July 2017

Permanent link to this document
https://projecteuclid.org/euclid.hmj/1499392824

Digital Object Identifier
doi:10.32917/hmj/1499392824

Mathematical Reviews number (MathSciNet)
MR3679888

Zentralblatt MATH identifier
06775346

Subjects
Primary: 65D30: Numerical integration 65D32: Quadrature and cubature formulas

Keywords
Quasi-Monte Carlo integration Walsh coefficients Koksma-Hlaka inequality

Citation

Yoshiki, Takehito. Bounds on Walsh coefficients by dyadic difference and a new Koksma-Hlawka type inequality for Quasi-Monte Carlo integration. Hiroshima Math. J. 47 (2017), no. 2, 155--179. doi:10.32917/hmj/1499392824. https://projecteuclid.org/euclid.hmj/1499392824


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