On the optimization of discrepancy measures

Abstract

Numerical optimizations can find point sets with lower discrepancies than prior methods based on algebra, and $L_2$ discrepancies are computationally attractive for this. The $L_2$ star discrepancy unreasonably emphasizes the origin and Matoušek pointed to a serious drawback. He showed that the $L_2$ star discrepancy of $n$ points at $(1,\dots ,1)\in [0,1{]}^d$ is less than the root mean squared $L_2$ star discrepancy of $n$ random points until $n>(3/2{)}^d-1$. We introduce the \emph{average squared discrepancy} (ASD) which averages $2^d$ versions of the squared $L_2$ star discrepancy, one for each vertex of $[0,1{]}^d$. We show that it can be computed in $O(d{n}^2)$ work and that it does not suffer from Matoušek's repeated-point pathology. We inspect several $L_2$ discrepancies that do not favor the origin over other vertices. Only two of them avoid the repeated-point pathology: a symmetric discrepancy and a periodic discrepancy. The symmetric discrepancy has a twin-point pathology where point sets with only $2$ distinct points can be better than random points until $n\ge 3^d$. We also study weighted $L_2$ discrepancies introduced by Hickernell that use some product weights. Weighting lower dimensional projections reduces but does not eliminate the repeated-point pathologies. A range of numerical experiments showcase recent progress in the construction of sets with low $L_2$ discrepancies for many different measures. In our examples, optimizing the ASD also gives good results for \emph{the other} discrepancies we consider, especially in lower dimensions. This version corrects some of the threshold sample sizes n at which random points become better than n repeated points for some discrepancy measures. In particular, the periodic L_2 discrepancy has no repeated point pathology.

arXiv comment40 pages, 3 Figures, 13 Tables