Error bounds for quasi-Monte Carlo integration with nets

Author:

Lécot Christian

Abstract

We analyze the error introduced by approximately calculating the s s -dimensional Lebesgue measure of a Jordan-measurable subset of I s = [ 0 , 1 ) s I^s=[0,1)^s . We give an upper bound for the error of a method using a ( t , m , s ) (t,m,s) -net, which is a set with a very regular distribution behavior. When the subset of I s I^s is defined by some function of bounded variation on I ¯ s 1 {\bar I}^{s-1} , 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 ( t , m , s ) (t,m,s) -net is used. Finally a lower bound of the error is given, for a method using a ( 0 , m , s ) (0,m,s) -net. The special case of the 2-dimensional Hammersley point set is discussed.

Publisher

American Mathematical Society (AMS)

Subject

Applied Mathematics,Computational Mathematics,Algebra and Number Theory

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