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arxiv: 1701.08562 · v1 · pith:OXAEC5LFnew · submitted 2017-01-30 · 🧮 math.NA · cs.NA

Quasi-Monte Carlo integration for twice differentiable functions over a triangle

classification 🧮 math.NA cs.NA
keywords integrationbounddifferentiablefunctionstriangletwicecarloerror
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We study quasi-Monte Carlo integration for twice differentiable functions defined over a triangle. We provide an explicit construction of infinite sequences of points including one by Basu and Owen (2015) as a special case, which achieves the integration error of order $N^{-1}(\log N)^3$ for any $N\geq 2$. Since a lower bound of order $N^{-1}$ on the integration error holds for any linear quadrature rule, the upper bound we obtain is best possible apart from the $\log N$ factor. The major ingredient in our proof of the upper bound is the dyadic Walsh analysis of twice differentiable functions over a triangle under a suitable recursive partitioning.

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