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Discrepancy of stratified samples from partitions of the unit cube

27 August 2020
M. Kiderlen
Florian Pausinger
ArXiv (abs)PDFHTML
Abstract

We extend the notion of jittered sampling to arbitrary partitions and study the discrepancy of the related point sets. Let Omega=(Ω1,…,ΩN)\mathbf{Omega}=(\Omega_1,\ldots,\Omega_N)Omega=(Ω1​,…,ΩN​) be a partition of [0,1]d[0,1]^d[0,1]d and let the iiith point in P\mathcal{P}P be chosen uniformly in the iiith set of the partition (and stochastically independent of the other points), i=1,…,Ni=1,\ldots,Ni=1,…,N. For the study of such sets we introduce the concept of a uniformly distributed triangular array and compare this notion to related notions in the literature. We prove that the expected Lp{\mathcal{L}_p}Lp​-discrepancy, ELp(POmega)p\mathbb{E} {\mathcal{L}_p}(\mathcal{P}_{\mathbf{Omega}})^pELp​(POmega​)p, of a point set POmega\mathcal{P}_\mathbf{Omega}POmega​ generated from any equivolume partition Omega\mathbf{Omega}Omega is always strictly smaller than the expected Lp{\mathcal{L}_p}Lp​-discrepancy of a set of NNN uniform random samples for p>1p>1p>1. For fixed NNN we consider classes of stratified samples based on equivolume partitions of the unit cube into convex sets or into sets with a uniform positive lower bound on their reach. It is shown that these classes contain at least one minimizer of the expected Lp{\mathcal{L}_p}Lp​-discrepancy. We illustrate our results with explicit constructions for small NNN. In addition, we present a family of partitions that seems to improve the expected discrepancy of Monte Carlo sampling by a factor of 2 for every NNN.

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