Constructing Embedded Lattice Rules for Multivariate Integration
Constructing Embedded Lattice Rules for Multivariate Integration
Lattice rules are a family of equal‐weight cubature formulae for approximating high‐dimensional integrals. By now it is well established that good generating vectors for lattice rules having n points can be constructed component‐by‐component for integrands belonging to certain weighted function spaces, and that they can achieve the optimal rate of …