Randomized Quasi-Monte Carlo Methods on Triangles: Extensible Lattices and Sequences

Abstract

<p> <span>Two constructions were recently proposed for constructing low-discrepancy point sets on triangles. One is based on a finite lattice, the other is a triangular van der Corput sequence. We give a continuation and improvement of these methods. We first provide an extensible lattice construction for points in the triangle that can be randomized using a simple shift. We then examine the one-dimensional projections of the deterministic triangular van der Corput sequence and quantify their sub-optimality compared to the lattice construction. Rather than using scrambling to address this issue, we show how to use the triangular van der Corput sequence to construct a stratified sampling scheme. We show how stratified sampling can be used as a more efficient implementation of nested scrambling, and that nested scrambling is a way to implement an extensible stratified sampling estimator. We also provide a test suite of functions and a numerical study for comparing the different constructions.</span> <br></p>