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Subgroup-based Rank-1 Lattice Quasi-Monte Carlo

29 October 2020
Yueming Lyu
Yuan. Yuan
Ivor W. Tsang
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Abstract

Quasi-Monte Carlo (QMC) is an essential tool for integral approximation, Bayesian inference, and sampling for simulation in science, etc. In the QMC area, the rank-1 lattice is important due to its simple operation, and nice properties for point set construction. However, the construction of the generating vector of the rank-1 lattice is usually time-consuming because of an exhaustive computer search. To address this issue, we propose a simple closed-form rank-1 lattice construction method based on group theory. Our method reduces the number of distinct pairwise distance values to generate a more regular lattice. We theoretically prove a lower and an upper bound of the minimum pairwise distance of any non-degenerate rank-1 lattice. Empirically, our methods can generate a near-optimal rank-1 lattice compared with the Korobov exhaustive search regarding the l1l_1l1​-norm and l2l_2l2​-norm minimum distance. Moreover, experimental results show that our method achieves superior approximation performance on benchmark integration test problems and kernel approximation problems.

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