Walsh spaces containing smooth functions and quasi-Monte Carlo rules of arbitrary high order

被引:87
|
作者
Dick, Josef [1 ]
机构
[1] Univ New S Wales, Sch Math & Stat, Sydney, NSW 2052, Australia
关键词
numerical integration; quasi-Monte Carlo; digital nets and sequences; Walsh; functions;
D O I
10.1137/060666639
中图分类号
O29 [应用数学];
学科分类号
070104 ;
摘要
We define a Walsh space which contains all functions whose partial mixed derivatives up to order delta >= 1 exist and have finite variation. In particular, for a suitable choice of parameters, this implies that certain Sobolev spaces are contained in these Walsh spaces. For this Walsh space we then show that quasi-Monte Carlo rules based on digital (t, alpha, s)-sequences achieve the optimal rate of convergence of the worst-case error for numerical integration. This rate of convergence is also optimal for the subspace of smooth functions. Explicit constructions of digital (t, alpha,s)-sequences are given, hence providing explicit quasi-Monte Carlo rules which achieve the optimal rate of convergence of the integration error for arbitrarily smooth functions.
引用
收藏
页码:1519 / 1553
页数:35
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