Abstract
This article considers the error of integrating multivariate Haar wavelet series by quasi-Monte Carlo rules using scrambled digital nets. Both the worst-case and random-case errors are analyzed. It is shown that scrambled net quadrature has optimal order. Moreover, there is a simple formula for the worst-case error.
This work was partially supported by a Hong Kong Research Grants Council grant HKBU/2030/99P, by Hong Kong Baptist University grant FRG/97-98/II-99, by Shanghai NSF Grant 00JC14057, and by a Shanghai Higher Education STF Grant.
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Heinrich, S., Hickernell, F.J., Yue, RX. (2001). Integration of Multivariate Haar Wavelet Series. In: Tang, Y.Y., Yuen, P.C., Li, Ch., Wickerhauser, V. (eds) Wavelet Analysis and Its Applications. WAA 2001. Lecture Notes in Computer Science, vol 2251. Springer, Berlin, Heidelberg. https://doi.org/10.1007/3-540-45333-4_14
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DOI: https://doi.org/10.1007/3-540-45333-4_14
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