A random walk algorithm to estimate a lower bound of the star discrepancy

Abstract

Abstract In many Monte Carlo applications, one can substitute the use of pseudorandom numbers with quasirandom numbers and achieve improved convergence. This is because quasirandom numbers are more uniform that pseudorandom numbers. The most common measure of that uniformity is the star discrepancy. Moreover, the main error bound in quasi-Monte Carlo methods, called the Koksma–Hlawka inequality, has the star discrepancy in the formulation. A difficulty with this bound is that computing the star discrepancy is very costly. The star discrepancy can be computed by evaluating a function called the local discrepancy at a number of points. The supremum of these local discrepancy values is the star discrepancy. If we have a point set in [ 0 , 1 ] s {[0,1]^{s}} with N members, we need to compute the local discrepancy at N s {N^{s}} points. In fact, computing star discrepancy is NP-hard. In this paper, we will consider an approximate algorithm for a lower bound on the star discrepancy based on using a random walk through some of the N s {N^{s}} points. This approximation is much less expensive that computing the star discrepancy, but still accurate enough to provide information on convergence. Our numerical results show that the random walk algorithm has the same convergence rate as the Monte Carlo method, which is O ( N - 1 2 {O(N^{-\frac{1}{2}}} ).