Group for Research in Decision Analysis


Existence and Construction of Shifted Lattice Rules with an Arbitrary Number of Points and Bounded Weighted Star Discrepancy for General Weights


We study the problem of constructing shifted rank-1 lattice rules for the approximation of high-dimensional integrals with a low weighted star discrepancy, for classes of functions having bounded weighted variation, where the weighted variation is defined as the weighted sum of Hardy-Krause variations over all lower dimensional projections of the integrand. Under general conditions on the weights, we prove the existence of rank-1 lattice rules such that for any >0, the general weighted star discrepancy is (n-1+) for any number of points n > 1 (not necessarily prime), any shift of the lattice, general (decreasing) weights, and uniformly in the dimension. We also show that these rules can be constructed by a component-by-component strategy. This implies in particular that a single infinite-dimensional generating vector can be used for integrals in any number of dimensions, and even for infinite-dimensional integrands when they have bounded weighted variation. These same lattices are also good with respect to the worst-case error in weighted Korobov spaces with the same types of general weights. Similar results were already available for various special cases, such as general weights and prime n, or arbitrary n and product weights, but not for the most general combination of n composite, general weights, arbitrary shift, and star discrepancy, considered here. Our results imply tractability or strong tractability of integration for classes of integrands with finite weighted variation when the weights satisfy the conditions we give. These classes are a strict superset of those covered by earlier sufficient tractability conditions.

, 21 pages