Component-by-component construction of randomized rank-1 lattice rules achieving almost the optimal randomized error rate

Abstract

We study a randomized quadrature algorithm to approximate the integral of periodic functions defined over the high-dimensional unit cube. Recent work by Kritzer, Kuo, Nuyens and Ullrich (2019) shows that rank-1 lattice rules with a randomly chosen number of points and good generating vector achieve almost the optimal order of the randomized error in weighted Korobov spaces, and moreover, that the error is bounded independently of the dimension if the weight parameters, $γ_j$, satisfy the summability condition $\sum_{j=1}^{\infty}γ_j^{1/α}<\infty$, where $α$ is a smoothness parameter. The argument is based on the existence result that at least half of the possible generating vectors yield almost the optimal order of the worst-case error in the same function spaces. In this paper we provide a component-by-component construction algorithm of such randomized rank-1 lattice rules, without any need to check whether the constructed generating vectors satisfy a desired worst-case error bound. Similarly to the above-mentioned work, we prove that our algorithm achieves almost the optimal order of the randomized error and that the error bound is independent of the dimension if the same condition $\sum_{j=1}^{\infty}γ_j^{1/α}<\infty$ holds. We also provide analogous results for tent-transformed lattice rules for weighted half-period cosine spaces and for polynomial lattice rules in weighted Walsh spaces, respectively.