The construction of good lattice rules and polynomial lattice rules

Abstract

A comprehensive overview of lattice rules and polynomial lattice rules is given for function spaces based on ${\ell }_p$ semi-norms. Good lattice rules and polynomial lattice rules are defined as those obtaining worst-case errors bounded by the optimal rate of convergence for the function space. The focus is on algebraic rates of convergence $O(N^{-\alpha +\epsilon })$ for $\alpha \ge 1$ and any $\epsilon >0$, where $\alpha$ is the decay of a series representation of the integrand function. The dependence of the implied constant on the dimension can be controlled by weights which determine the influence of the different dimensions. Different types of weights are discussed. The construction of good lattice rules, and polynomial lattice rules, can be done using the same method for all $1<p\le \infty$; but the case $p=1$ is special from the construction point of view. For $1<p\le \infty$ the component-by-component construction and its fast algorithm for different weighted function spaces is then discussed.

References in corpus (2)

• Walsh spaces containing smooth functions and quasi-Monte Carlo rules of arbitrary high order
• Higher order QMC Galerkin discretization for parametric operator equations

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