Randomized quasi-Monte Carlo for walk on spheres
For researchers solving PDEs via Monte Carlo methods, this work provides a practical variance reduction technique, though the improvements are modest and method-dependent.
The paper applies randomized quasi-Monte Carlo (RQMC) to walk on spheres algorithms for solving boundary value problems, achieving variance reduction with rates slightly better than Monte Carlo (median ~O(n^{-1.1})) and variance reduction factors up to 10.7 at n=2^17.
We investigate the use of randomized quasi-Monte Carlo (RQMC) in walk on spheres algorithms to solve boundary value problems for functions with Dirichlet boundary conditions in $\mathbb{R}^d$. For harmonic functions with $d=2$, the integrands of interest are periodic indicator functions over regions $Θ$ in the torus $\mathbb{T}^k$. We give conditions for $\partialΘ$ to have $k-1$ dimensional Minkowski content which allows us to use results of He and Wang (2015). The RQMC estimates involve multiple values of $k$. We see sampling variances decreasing with the number $n$ of sample points at slightly better than Monte Carlo rates. The median variance rate in $4$ RQMC methods over $5$ worked examples, including some with $d=3$ and some with nonzero source functions, was slightly better than $O(n^{-1.1})$. The variance reduction factors ranged from $1.8$ to $10.7$ at $n=2^{17}$. None of the four RQMC methods dominated the others.