Extensible Lattice Sequences for Quasi-Monte Carlo Quadrature

Abstract

Integration lattices are one of the main types of low discrepancy sets used in quasi-Monte Carlo methods. However, they have the disadvantage of being of fixed size. This article describes the construction of an infinite sequence of points, the first bm of which forms a lattice for any nonnegative integer m. Thus, if the quadrature error using an initial lattice is too large, the lattice can be extended without discarding the original points. Generating vectors for extensible lattices are found by minimizing a loss function based on some measure of discrepancy or nonuniformity of the lattice. The spectral test used for finding pseudorandom number generators is one important example of such a discrepancy. The performance of the extensible lattices proposed here is compared to that of other methods for some practical quadratureproblems.