攀登伪蒙特卡罗积分法在Sobolev和Korobov空间中的随机化误差
Randomized Error of Scrambled Net Quadrature for Tensor Product Sobolev and Korobov Spaces
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摘要: 攀登伪蒙特卡罗积分法是由伪蒙特卡罗与蒙特卡罗方法混合而成的一种新方法,它体现了两者的优点。本文研究这种积分法在Sobolev空间和Korobov空间中的随机化误差。我们证明攀登(λ,t,m,s)-网积分法在这两个空间中的随机化误差的渐近阶为n-3/2logn(s-1)/2。Abstract: Scrambled quasi-Monte Carlo quadrature is a hybrid of Monte carlo and quasi-Monte Carlo methods, which combines the best of these two methods for integration. This article studies the performance of the scrambled quadrature rules in randomized settings for the tensor product Sobolev and Korobov spaces of integrands. It is shown that the randomized error of the scrambled (λ, t, ms)-nets is of order n-3/2log n(s-1)/2 for these two spaces.