Jittered sampling and probability measures

Abstract

This paper investigates the discrepancy of a family of random sampling methods obtained by perturbing the grid $\frac{1}{M}\mathbb{Z}^{d}\cap\left[ -1/2,1/2\right)^{d}$, where $M$ is a large positive integer. Parameterized by an arbitrary probability measure $μ$, this family encompasses several classical methods for evaluating the quality of an $N$-point set in $\mathbb{T}^{d}$, where $N=M^{d}$. We show that all probability measures, except for Dirac measures, behave like the Lebesgue measure in the Monte Carlo discrepancy. This represents a limiting case where the measure $μ$ depends on $M$. In this latter context, we prove that, up to a constant, the lowest possible discrepancy is achieved when the support of $μ$ has diameter $\leq c/M$, and that this upper bound is sharp.