Mathematical aspects of quasi-Monte Carlo integration
- November 5 at 16:00 - 18:10, 2020 (JST)
- Dr. Kosuke Suzuki (Assistant Professor, Graduate School of Advanced Science and Engineering, Hiroshima University) Edit
- via Zoom
In this talk, I will introduce mathematical aspects of quasi-Monte Carlo (QMC) integration. We aim to approximate the integral of a function on the d-dimensional hypercube [0,1]^d. A useful approach is Monte-Carlo (MC) integration, which uses randomly chosen samples. A drawback of MC is the rate of convergence; the standard deviation of the estimator converges as 1/sqrt(n) asymptotically in n. To have a better rate of convergence as O(log^d N/N) or more, QMC uses deterministic, uniformly distributed points.
In the first part, I will give an overview of QMC, such as star-discrepancy, Koksma-Hlawka inequality, and some explicit constructions as lattices and digital nets.
In the second part, I will show that QMC using lattices and digital nets can achieve a higher rate of convergence for smooth integrands.
*Please contact Keita Mikami's mail address to get access to the Zoom meeting room.