Component-by-component constructions achieve the optimal rate of convergence for multivariate integration in weighted Korobov and Sobolev spaces

  • Authors:

  • F. Y. Kuo

  • Affiliations:

  • Department of Mathematics, University of Waikato, Private Bag Hamilton 3105, New Zealand and School of Mathematics, The University of New South Wales, Sydney NSW 2052, Australia

  • Venue:
  • Journal of Complexity
  • Year:
  • 2003

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Abstract

It is known from the analysis by Sloan and Woźniakowski that under appropriate conditions on the weights, the optimal rate of convergence for multivariate integration in weighted Korobov spaces is O(n-α/2+δ) where α 1 is some parameter of the spaces, δ is an arbitrary positive number, and the implied constant in the big O notation depends only on δ, and is independent on the number of variables. Similarly, the optimal rate for weighted Sobolev spaces is O(n-1+δ). However, their work did not show how to construct rules achieving these rates of convergence. The existing theory of the component-by-component constructions developed by Sloan, Kuo and Joe for the Sobolev case yields the rules achieving O(n-1/2) error bounds. Here we present theorems which show that those lattice rules constructed by the component-by-component algorithms in fact achieve the optimal rate of convergence under appropriate conditions on the weights.