We investigate base \(b\) Walsh functions for which the variance of the integral estimator based on a scrambled \((0,m,s)\)-net in base \(b\) is less than or equal to that of the Monte-Carlo estimator based on the same number of points. First we compute the Walsh decomposition for the joint probability density function of two distinct points randomly chosen from a scrambled \((t,m,s)\)-net in base \(b\) in terms of certain counting numbers and simplify it in the special case \(t\) is zero. Using this, we obtain an expression for the covariance of the integral estimator in terms of the Walsh coefficients of the function. Finally, we prove that the covariance of the integral estimator is negative when the Walsh coefficients of the function satisfy a certain decay condition. To do this, we use creative telescoping and recurrence solving algorithms from symbolic computation to find a sign equivalent closed form expression for the covariance term.
Jaspar Wiart, RICAM and Johannes Kepler University, jaspar.wiart@jku.at
Elaine Wong, Austrian Academy of Sciences, RICAM, elaine.wong@ricam.oeaw.ac.at
Update (November 10): This paper has been accepted to Mathematics and Computers in Simulation and is online with DOI:10.1016/j.matcom.2020.10.026. The preprint is available here: arXiv:2006.06225.
All computations for this paper can be found here:
Elaine gave a talk at CASC 2020 discussing the symbolic computation aspects of this paper:
Christoph Koutschan and Elaine wrote a sequel to this paper for the post proceedings of CASC, highlighting some of the technical details that were not mentioned in the original and showing different ways to speed up computations. This sequel has been submitted for publication (preprint at arXiv:2010.08889). The code is provided here:
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