Lattice Rules Meet Kernel Cubature

Rank-1 lattice rules are a class of equally weighted quasi-Monte Carlo methods that achieve essentially linear convergence rates for functions in a reproducing kernel Hilbert space (RKHS) characterized by square-integrable first-order mixed partial derivatives.

In this work, we explore the impact of replacing the equal weights in lattice rules with optimized cubature weights derived using the reproducing kernel.

We establish a theoretical result demonstrating a doubled convergence rate in the one-dimensional case and provide numerical investigations of convergence rates in higher dimensions.

We also present numerical results for an uncertainty quantification problem involving an elliptic partial differential equation with a random coefficient.