Mesh-free error integration in arbitrary dimensions: a numerical study of discrepancy functions (1911.00795v2)

Abstract: We are interested in mesh-free formulas based on the Monte-Carlo methodology for the approximation of multi-dimensional integrals, and we investigate their accuracy when the functions belong to a reproducing-kernel space. A kernel typically captures regularity and qualitative properties of functions "beyond" the standard Sobolev regularity class. We are interested in the issue whether quantitative error bounds can be a priori guaranteed in applications (e.g. mathematical finance but also scientific computing and machine learning). Our main contribution is a numerical study of the error discrepancy function based on a comparison between several numerical strategies, when one varies the choice of the kernel, the number of approximation points, and the dimension of the problem. We consider two strategies in order to localize to a bounded set the standard kernels defined in the whole Euclidian space (exponential, multiquadric, Gaussian, truncated), namely, on one hand the class of periodic kernels defined via a discrete Fourier transform on a lattice and, on the other hand, a class of transport-based kernels. First of all, relying on a Poisson formula on a lattice, together with heuristic arguments, we discuss the derivation of theoretical bounds for the discrepancy function of periodic kernels. Second, for each kernel of interest, we perform the numerical experiments that are required in order to generate the optimal distributions of points and the discrepancy error functions. Our numerical results allow us to validate our theoretical observations and provide us with quantitative estimates for the error made with a kernel-based strategy as opposed to a purely random strategy.