Abstract
Jittered Sampling is a refinement of the classical Monte Carlo sampling method. Instead of picking $n$ points randomly from $[0,1]^2$, one partitions the unit square into $n$ regions of equal measure and then chooses a point randomly from each partition. Currently, no good rules for how to partition the space are available. In this paper, we present a solution for the special case of subdividing the unit square by a decreasing function into two regions so as to minimize the expected squared $\mathcal{L}_2-$discrepancy. The optimal partitions are given by a \textit{highly} nonlinear integral equation for which we determine an approximate solution. In particular, there is a break of symmetry and the optimal partition is not into two sets of equal measure. We hope this stimulates further interest in the construction of good partitions.
Original language | English |
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Pages (from-to) | 55-61 |
Journal | Statistics & Probability Letters |
Volume | 132 |
Early online date | 27 Sept 2017 |
DOIs | |
Publication status | Published - 01 Jan 2018 |
Keywords
- math.NA
- math.OC
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Florian Pausinger
- School of Mathematics and Physics - Visiting Scholar
- Mathematical Sciences Research Centre
Person: Academic