Subgroup-based Rank-1 Lattice Quasi-Monte Carlo

Part of Advances in Neural Information Processing Systems 33 pre-proceedings (NeurIPS 2020)

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Authors

Yueming LYU, Yuan Yuan, Ivor Tsang

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 property for point set construction. However, the construction of the generating vector of the rank-1 lattice is usually time-consuming through 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 near-optimal rank-1 lattice compared with Korobov exhaustive search regarding the $l_1$-norm and $l_2$-norm minimum distance. Moreover, experimental results show that our method achieves superior approximation performance on the benchmark integration test problems and the kernel approximation problems.