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Randomized sparse grid algorithms for multivariate integration on Haar-Wavelet spaces

The \emph{deterministic} sparse grid method, also known as Smolyak&#39;s method, is a well-established and widely used tool to tackle multivariate approximation problems, and there is a vast literature on it. Much less is known about \emph{randomized} versions of the sparse grid method. In this paper we analyze randomized sparse grid algorithms, namely randomized sparse grid quadratures for multivariate integration on the $D$-dimensional unit cube $[0,1)^D$. Let $d,s \in \mathbb{N}$ be such that $D=d\cdot s$. The $s$-dimensional building blocks of the sparse grid quadratures are based on stratified sampling for $s=1$ and on scrambled $(0,m,s)$-nets for $s\ge 2$. The spaces of integrands and the error criterion we consider are Haar wavelet spaces with parameter $α$ and the randomized error (i.e., the worst case root mean square error), respectively. We prove sharp (i.e., matching) upper and lower bounds for the convergence rates of the $N$-th mininimal errors for all possible combinations of the parameters $d$ and $s$. Our upper error bounds still hold if we consider as spaces of integrands Sobolev spaces of mixed dominated smoothness with smoothness parameters $1/2< α< 1$ instead of Haar wavelet spaces.