Multiple Examples : Lati'Ice Methods For Integration: Theory, Error Analysis AND

SIAM J. NUMER. ANAL.
1987 Society for Industrial and Applied Mathematics

Vol. 24, No. 1, February 1987 010
Downloaded 05/19/19 to 128.250.144.144. Redistribution subject to SIAM license or copyright; see http://www.siam.org/journals/ojsa.php
LATI’ICE METHODS FOR MULTIPLE INTEGRATION: THEORY, ERROR

ANALYSIS AND EXAMPLES*
IAN H. SLOAN" AND PHILIP J. KACHOYAN"
Abstract. This paper is concerned with numerical integration over the unit cube in s dimensions of
functions that have reasonably smooth periodic extensions in each dimension. The concept of a lattice rule
is introduced, and error bounds are developed in terms of the dual lattice. Examples of lattice rules discussed
in the paper are the rectangle rule, the number-theoretic "good-lattice" methods of Korobov and others,
the body-centred cubic rule, and a generalization of the latter to a family W,,r}. The W,,r rules appear to
have interesting extrapolation properties, both for fixed r and for n.
Key words, multiple integration, cubature, lattice methods
AMS(MOS) subject classifications. 65D30, 65D32
1. Introduction. The problem we consider is the numerical evaluation of integrals

of the form
(1.1) I(f) f U
f(x) dx,
where U is the unit cube in s dimensions,

U ={xRS: 0<-xi< 1, 1 <= i<=s},
and f is a real-valued function on U s. We shall be concerned with cases in which f
has a continuous periodic extension f to the whole of
f(x) =f(x), x U s,
(1.2)
(.Very often a preliminary coordinate transformation on U will be required to make

f continuous, or have continuous first derivatives, etc. In this paper we shall assume
that any necessary transformations of this kind have already been carried out.)
We are concerned with approximate integration rules of the form
1 N-1
(1.3) I(f)=- f(x),
j=0
where {Xo,"" ", xs-1} are the points of a "multiple-integration lattice" S that lie in
U s. Note that a lattice S is an infinite set of points in s with the following three
properties:
1. If x and x’ belong to S, then so do x + x’ and x-x’.
2. S contains s linearly independent points.
3. There exists a sphere centred at 0 that contains no points of the lattice other
than 0 itself.
A multiple-integration lattice is then defined to be a lattice that contains Z as a
sub-lattice.
* Received by the editors August 21, 1984, and in revised form December 27, 1985. This work was
supported by the Australian Research Grants Scheme.
f School of Mathematics, University of New South Wales, Sydney, New South Wales 2033, Australia.
116
LATTICE METHODS FOR MULTIPLE INTEGRATION 117
By a "lattice rule," then, we shall mean a rule of the form (1.3) in which
’’, xN-1} are all the points of a multiple-integration lattice that lie in U s.
Xo,
The most obvious multiple-integration lattice is the cubic lattice
(1.5) IN (f)
-
where n is a positive integer. The corresponding lattice rule is the "rectangle rule"
j,=o j=o \n
where N n s. Because N rises very rapidly with s, the rectangle rule suffers in a very
obvious way from the "curse of dimensionality." Note that this rule is equivalent,
because of the assumed periodicity, to a product-trapezoidal rule.
Another kind of lattice rule is the number-theoretic "good-lattice" method of
Korobov [7] and others [2], [5], [6], [9], [13]. (The method is reviewed in [3], [4],
[9], [12].) In this method one chooses N (often with the restriction that it be prime),
then chooses an integer vector lie 7/s, which must be relatively prime with N, and
finally approximates the integral (1.1) by
(1.6) IN(f)
:o f J
where the braces about a vector indicate that each component of the vector is to be
replaced by its fractional part (with the fractional part lying in the interval [0, 1)).
Clearly the rule (1.6) is a lattice rule, corresponding to the lattice
(1.7) j+z’j7/,zZ
We shall call a lattice rule of the form (1.6) a "cyclic" rule, to express the fact that
all quadrature points are generated by the single vector p/N.
Much of the number-theoretic literature cited above is concerned with proving
that at least for some values of N (e.g. N prime) there exist "good" choices for the
vector p in the cyclic rule (1.6), i.e. choices for which a prescribed order of convergence
is achieved for all f in a certain class. (More precise information is given in [3].)
In this paper we are concerned with the whole family of lattice rules, of which
the rectangle rule and the cyclic rules are merely special cases. It turns out, and this
is the central theme of this paper, that many of the known properties of the construction
(1.6) generalize in a natural way to all lattice rules. The fundamental result (which
appears as Theorem 2) is the following: if f has an absolutely convergent Fourier
series representation
f(x) L
mZ
a(m) e :’’’ire’x, xU,S
where
m x mix + + msXs
then the error in the lattice rule (1.3) corresponding to the lattice S is
(1.8) IN(f)- I(f)
’
mS
a(m),
118 IAN H. SLOAN AND PHILIP J. KACHOYAN
where the prime indicates that the m 0 term is to be omitted from the sum, and S
is the "dual" of the lattice S, defined by
(1.9) S +/-={m: m. x7/Vx S}.

The dual (or reciprocal, or polar) lattice is a concept of geometric number theory [ 1],
and is useful in coding theory [10], X-ray diffraction and solid-state physics, but it
does not seem to have appeared previously in the context of multiple integration.
The properties of lattices and their duals are discussed briefly in succeeding
sections, and the error expression (1.8) is then derived in 5 and 6. Following the
analogy of the number-theoretic literature (e.g. [7]), this error expression leads to an
error bound, as follows: let E’(c), for a > 1 and c>O, be the class of functions f
whose Fourier coefficients satisfy
C
(1.10) la(m)l_-< (, ,,)’
where
J’lml
1
iflml->_ 1,
if m=0.
Then for fs ET(c) it follows from (1.8) that
1
(1.11) II(f) I(f)l <-_ c .s"
y.,’
(, ,)"
This result appears as Theorem 3. (It should be noted that condition (1.10) with a > 2
is usually satisfied in practice only if appropriate derivatives of f are continuous; and
that transformations to force such continuity are usually costly.)
Again using as a guide the number-theoretic literature (e.g. [13]), we observe that
the largest terms in (1.11) are of the form c/p", where
(1.12) p min (... fits).
mES
mO
This suggests that to obtain good lattices it may be desirable to make p as large as
possible for given N. A theorem that provides a modicum of support for that idea
appears as Theorem 4.
In 8 some examples of lattice rules are discussed. In particular, the "body-centred
cubic" rule and its generalization to a family { W,r} are introduced in that section.
These rules would seem to be of some practical interest, particularly in conjunction
with Richardson extrapolation. It may be noted that other lattice rules are not in short
supply, since every lattice that includes (a,)s as a sub-lattice for some a > 0 can be
transformed into a multiple-integration lattice by a suitable change of scale. Many
such lattices may be found in the tables of [10].
2. Lattice rules. Let S be a multiple-integration lattice, as defined above, and let
{Xo," ", xN_} be the points of S that lie in U s, so that the lattice rule corresponding
to S is
1 N-I
(2.1) IN(f) Y f(xj).
"j=o
The point 0 is always one of the quadrature points, since 0 belongs to every lattice S.
Thus for convenience we take Xo =0.
-
Sometimes it is useful to displace the quadrature points, so that, for example, all
quadrature points lie in the interior of U (cf. the midpoint rule in one dimension).
Thus for each v e we define a "displaced lattice rule" I(f, v),
(2.2) IN(f, v)
g=o
f({x +v}).
If v S it is easily seen that IN(f, V)= IN(f).
The following result shows that the points of a multiple-integration lattice are
rational vectors of a restricted kind.
LEMMA 1. If X0, ", XN- are the quadrature points in an N-point lattice rule, then
NxjET/S,j=O, N-1.
Proofi Recall that Xo,’’ ", xN- are the points of a multiple-integration lattice S
that lie in U s. If points of S that differ by an integer vector are identified, then
{Xo," ,xN_) can be considered a group (specifically the factor group S/TS), of order
N under addition. Let kj denote the order of xj in the group, i.e. k is the least positive
integer such that kgxg E Z s. Then by Lagrange’s theorem k divides N, from which it
follows that Nxj Z s. []
3. Generators of a lattice. A linearly independent subset {a, .,
as} of a lattice
S is said to "generate" the lattice if each point of S is an integer linear combination
of a,..., as. Every lattice has a set of generators (see [1, 3.4, Thm. VI]). The
generators are not unique.
If a lattice S has generators {a,. .,
as), the matrix M whose rows are air, ., ar
is a "generator matrix" for the lattice. The "determinant" of the lattice is
det S Idet M I.
It is the volume of the "fundamental parallelepiped"
{/)a -k. q- 1slls: 0 < li <- 1, 1 <= <- s},
and is the same for every set of generators of the lattice (see 1, p. 2]). The determinant
is the reciprocal of the average density of points in the lattice.
Thus if S is a multiple-integration lattice with N points in U s, then the determinant
of S is
det S 1/N.
For example, a generator matrix for the cubic lattice (1.4) is
1 0 0
(3.1) M=In 0 1 0 0
0 0 0 1
The determinant of this lattice is
lattice, defined by (1.9).

det S- Idet MI-- 1/n - 1/N.
4. The dual lattice. Of fundamental importance in the study of lattices is the dual
Let {a,...,as) be a set of generators for the lattice S, and let M be the
corresponding generator matrix. Then the columns of M -1, which we denote by
{b,..., bs), belong to S 1, since
b ag o, l <--_ i,j <-- s.
In fact {b,..., bs} is a set of generators for S +/-, since for arbitrary m S +/- we have
m= M-Mm
=b(a. m)+.." +bs(as" m),
which is an integer linear combination of bl,’’’, bs. Thus (M-) r is a generator
matrix for S +/-, from which it follows that
det $1 Idet (M-1)r[ 1/[det MI= 1/det S.
+/-
The dual of S is clearly S.
If a lattice S contains a sub-lattice T, then it follows immediately from the definition
of the duals that S +/- is a sub-lattice of T +/-. In particular, for S a multiple-integration
lattice we have S 7/s, and hence S +/- c Z s.
5. An exponential sum. The key to the error analysis of lattice methods is the
exponential sum in the following theorem. The proof, which is of group-theoretical
character, has its origins in the arguments used by Sobolev [11] for integration over
the surfaces of spheres.
THEOREM 1. Let S be a multiple-integration lattice with points Xo, ,
xrv-1 in U s,
and let m 7/s. Then
1 v-1
1 ifmS -,
N j= " e2zrim.xj
[0 ifm:S’.
Proof. If m S the desired result follows immediately, since in this case m. xj is
an integer for all j.
It remains to prove the result for m S I. To each point xj, 0<=j <= N- 1, we define
a translation operator T, which operates only on functions with the periodicity property
(1.2), by
p(x) p(x + x.i).
It follows that
TkTp(x) p(x + xj + Xk) p(x + X,) Tp(x),
where Xl is the unique member of {Xo, ,
xN-1} that differs from xj + Xk by an integer
vector. Thus the translations { To =/, T,. .,
TN-} form a group isomorphic to the
group {Xo 0,. ,
XN_I} S/7/s.
Given a function p with the periodicity property (1.2), we define/, the group
average of the translations Tp, by
N-1
1
--oE Tp.
By a standard group-theoretical argument p is invariant under translation, since
1 N--1 1 N-1
rp
--o (TkT)p=- ,--o
Tlp=,
the translations {TkTo,’", TkTtv-1} being merely the translations {To,’’’, Tv_}
taken in a different order.
Now define
6m(X)--e 2’trim’x, m7/s, xR s.
Clearly,
Tj e 2 rim’xj m,
which for mS +/-

is different from bm for some j in 0 <=j <= N-1. On the other hand
we have
1
m: :0
Tjm-- E
j--0
e2rim’xj m,
the left-hand side of which is invariant under translation. Since bm is not invariant,
the expression in brackets must vanish, thus completing the proof, l-1
6. Error analysis. Now assume that f has the absolutely convergent Fourier series
representation
(6.1) f(x) E a(m) e -im’x, x U s,
m/
with
a(m) | e-2i’’f(x) dx.

U
From the exponential sum in Theorem 1 we may deduce expressions for the errors in
the lattice rule (2.1) and the displaced lattice rule (2.2).
THEOREM 2. Let S be a multiple-integration lattice with points Xo, ,
xn-1 in U s.
Then the corresponding lattice rule In(f) and the displaced lattice rule In(f, v) have errors
In(f)-I(f)
In(f, ’)- I(f)

mS
’ E’
mS
a(m),
e2i"’a(m)
Proof. By substituting (6.1) into (2.1), interchanging the order of summation, and
then using Theorem 1, we obtain
In(f)
mS
E a(m).
Similarly,
IN(f, V) E e 2"rim’u a(m).
mS
Since
I(f) a(0),
the desired results follow immediately. [3
In the following theorem ET(c), as in the Introduction, is the set of functions f
whose Fourier coefficients satisfy (1.10).
THEOREM 3. With the notation of Theorem 2, let f E(c), with a > 1. Then
1
lib(f)- I(f)l <- c .s
,’
(,, )’
1
IIn(f, v)- I(f) <-_ c E’ (rnl. rn)
Proof. These follow immediately from Theorem 2 and the inequality (1.10). V1
With t9 defined by (1.12), the results of Theorem 3 suggest that the error may be
reduced by making p as large as possible for a given value of N. That there is a grain
of truth in this notion follows from the following theorem, which is a generalization
of a result given by Hua and Wang [6, Thm. 7.11 for the cyclic rule (1.6). (The practical
value of the theorem is limited, because of the occurrence in it of constants of unknown
size.)
THEOREM 4. With the notation of Theorem 2, let f ET(c), with a > 1. Then
IIN(f)-I(f)l<--cd(s, a)p-(1 +ln p)S-1,
Iz (f, ,)- t(f)[ <_- cd(s, a)p-(1 +In p)S-,
where d s, a) depends only on a and s.
The proof rests on the following lemma, which again is related to a result in Hua
and Wang [6, Lemma 3.4]. In this lemma Rt, for l- 1, 2,. .,
denotes the number of
points m S +/- such that
(6.2) 1"’" nS < lp.
Note that R 1 if p >-2.
LWMMa 2. Let S be a multiple-integration lattice. Then for p >= 2,
Rt <- e(s)l(ln 31p) -’, 1=1,2,...,
where e(s) depends only on s.
Proof Let M be an arbitrary real number satisfying 1 =< M < p. Then for
1, 2,. ., the inequality
(6.3) /’i7/1 rs -<- lM
defines a region A c R s, where for m real
nS=
Im[ if[m I->1,
1 iflml< 1.
Now Hua and Wang show [6, Lemma 3.4 and p. 57, line 2] that the region A! can be
covered by e(s)l(ln 31M) -1 closed rectangular parallelepipeds with edges parallel to
the coordinate axes, minimum edge length 1, and volume M..(The minimum edge
length condition is not stated explicitly in [6], but is implied by their applications,
and can be added to the hypotheses without cost.) We now show that each such
parallelepiped contains at most one point of S +/-. Suppose the contrary, that one such
parallelepiped contains two distinct points m’ and m" of S +/-. Then m m’-m" is a
-,
nonzero point of S and (because of the geometry of the parallelepiped) na satisfies
contains at most one point of S .

Since M < p this implies m =0, which is a contradiction. Thus each parallelepiped
-
It follows that there are at most e(s)l(ln31M) s-1 points of S satisfying the
inequality (6.3). Since this holds for arbitrary M < p, there are at most e(s)l(ln 3/p) -1
points of S satisfying the inequality (6.2), thus proving the lemma, lq
Proof of Theorem 4. From Theorem 3 we have
1
II(f)- I(f)l <= c .S
E’ fill’’"
The sum over m can be expressed as the sum of contributions from regions El, E2,
where E is the region defined by
lp<=rh s < (/+ 1)p,
/=1,2,....
(Note that there is no contribution from the region rhl rhs < p.) Then with Rt as in
Lemma 2 we have
But
1
U (1+ 1)
1
a r.
and using this together with Lemma 2 we obtain, for p => 2,
+
x -’- dx <
U+,
a
ca R+ ca e(s) (1+ 1)(In3[/+ 1]p) -’

IIN(f)- I(f)]
<=--g
/=1
cd,(s, ,)
’+----S-<
P /=1 la+l
--<_ (In
p
where d(s, a) depends only on s and a. Thus for all p we have
[IN(f)- I(f) <= cd(s, a)

p, (1 + In p)-’.
The proof of the second result is identical.
7. The "worst" cases. In the literature of number-theoretic multiple integration a
useful role is played by the functions f for a 2, 4, defined below. Each f, is in
a sense the worst function in the appropriate class E(1).
These functions are defined by
1
f, (x) Z
,,,z
2i,,.x
(r... rs)
e
Thus f e E’(1), and I(f,) 1. Explicit expressions are known for f_, f4," ".
Letting PN. P denote the errors in I(f), we have, from Theorem 2,
(7.1) PN, IN(f,,) I(f
Then for f E(c) the first error bound in Theorem 3 can be written
. 2’ (m,... m)
1
(7.2) II (f) I(f)l =< cPN, a 2, 4,...,

the bound being achieved if f =f. In the next section the values of P for fixed a are
used as an indication (admittedly incomplete) of the relative merits of different lattices.
8. Examples of lattice rules.
8.1. Rectangle rule. The rectangle rule is defined by (1.5), and the corresponding
lattice by (1.4). A generator matrix for the lattice is given by (3.1), thus a generator
matrix for the dual lattice is
n 0 0
0 0
Since (n, 0,. ., O) belongs to the dual, the value of 0 (defined by (1.12)) for the
rectangle rule is
p n N 1Is.
Also, from (7.1) we have

1
mS (if/1 if/s) 2-" m=O,n,+/-2n,.., r :i
1+ -1
2
3n
+ O(n-4),
and similarly
4
STF 2s,rr 6
P4- 45n4+ O(n-8), P6- 945n6+ O(tl-12).
8.2. Cyclic rules. We recall that a cyclic rule is of the form (1.6), with p relatively
prime with N, and that the corresponding lattice is given by (1.7). From the definition
of the dual lattice, it is easily seen that in this case the dual is
{m Z s: m. p 0(mod N)}.
Thus from Theorem 2 the error in the cyclic rule can be expressed as
IN(f)- I(f) _,’ a(m),
m-p-----O(mod N)
if f has the absolutely convergent Fourier series representation (6.1). This is a standard
result in the number-theoretic literature, usually derived by computing the exponential
sum in 5 directly.
Every lattice rule with a prime number of quadrature points is a cyclic rule. This
follows from the fact that the group {Xo, ,
xN-1} introduced in the proof of Lemma
1 must then be a cyclic group generated by x. On writing x p/N, the quadrature
rule appears in the form (1.6).
If we assume (as is almost always the case in practice) that p 1, then a generator
matrix for the lattice (1.7) is
1 p: ps
N N N
0 1 0 0
0 0 1 0 0
0 0 0 1
giving det S Idet MI 1/N. The corresponding generator matrix for the dual lattice is
N 0 0
-P2 1 0 0
(M-l) T= -P3 0 1 0 0
-p 0 0 0 1
8.3. Body-centred cubic rule. We recall that the "worst" points (from the point of
view of the product n51.., rs) of the dual lattice for the rectangle rule are
+(n, 0,..., 0), and similar points on the other axes. The present rule arises if we
attempt to remove those worst dual lattice points by the judicious addition of extra
quadrature points to the rectangle rule. In fact an additional quadrature point at
((1/2n), (1/2n),..., (1/2n)) achieves the desired effect, since its inner product with
those worst dual lattice points is either +1/2 or -1/2, and hence not an integer. Of course
further quadrature points must then be added, to preserve the lattice aspect of the points.
In this way we are led to the lattice rule based on the "body-centred cubic" lattice
This may be thought of as the rectangle-rule lattice supplemented by the addition of

one extra point at the centre of each cube of side 1! n. The corresponding lattice rule,
the "body-centred cubic rule," obviously has N 2n quadrature points.
The body-centred cubic rule is, as we shall see, substantially more accurate than
the rectangle rule (at least as measured by the bounds P). Since it has all of the
symmetries of the rectangle rule, and is almost as simple to code, there would seem
to be good reason to favour it over the rectangle rule in almost all situations.
8.4. The family of rules { Wn,}. The lattice rule Wnr, with r a positive integer,
arises if we seek to eliminate not merely the innermost point on each axis of the
rectangle-rule dual lattice, as we did in deriving the body-centred cubic rule, but rather
the r-1 innermost points on each axis. (Thus Wn2 is the body-centred cubic rule, and
Wn the rectangle rule.) This aim is motivated by the observation that each of the
points (in, 0, , 0), j 1, , n- 1, in the rectangle-rule dual lattice has a smaller
value of n5 rs than the "worst" dual lattice point that lies off the axes. (A typical
point of the latter kind is (n, n, 0,.., 0), for which the corresponding value is n2.)
Specifically, the multiple-integration lattice W,,r is defined by
It may be thought of as the lattice obtained by supplementing the cubic lattice of side
1/n by the addition of r-1 points along the main diagonal of each cube of side 1/n
(so that all points on the diagonal are equally spaced), and reduces to the body-centred
cubic lattice if r 2, and to the cubic lattice if r 1. It is clear that the number of
quadrature points is N rn s.
A generator matrix for the lattice W,r is
1
0 0 0
n
1
0 0 0
n
1
0 0 0 0
n
1 1 1 1
rn rn rn rn
and hence a generator matrix for the dual is
n 0 0 -n
0 n 0 0 -n
(M-)r
0 0 n -n
0 0 0 rn
From this it is apparent that the dual lattice points nearest to the origin and lying on
the axes are points such as (rn, 0,. .,
0), while those nearest but not on the axes are
points such as (n, -n, 0,. .,

0). It follows that
p min (rn, n2).
It also follows, by extending the argument for the rectangle rule, that for fixed r
we have
S7/.2
P2- 3rEt12+ O(rl-4),
S71-4
P4-45r4n4 + O(rl-8),
6
2sTr
P6=945r6n6+ O(n 12)
One observes that the leading terms of P2, P4 and P6 have been reduced, compared
to the values for the rectangle rule, by factors of r 2, /.4 and r6, in return for what is a
relatively modest increase in the number of quadrature points. (To achieve the same
reduction with the rectangle rule, one would have to increase N by a factor of r rather
than r.)
An attractive feature of the sequence of lattice rules { W,,} for fixed r is that the
convergence is very regular, and so admits the possibility of Richardson extrapolation
(cf. [8]). Here we can give only a brief outline for W,,r. For a function f that is a Co
function on U and that has a continuous periodic extension f, it can be shown, by
repeated integration by pans in a(m)= [.u e-2im’"f(x) dx and then using Theorem 2,
that
b2(f r) b4(f r)
(8.1) IN(f)- I(f)"
r 2
"’’ 1
4’ + b6( r) +...
where b2(f, r) has a 1/r 2 dependence on/..
In Table 1 the results of the Richardson extrapolation based on appropriate terms
of (8.1) are shown for two examples, with r taken to be 2 in the first example, and 3
TABLE
Richardson extrapolation applied to sequences W.r}, for fixed r.
Richardson extrapolations
s Example n r N IN(f) 1st 2nd 3rd
3 4 2 128 .9571 1938

8 2 1024 .9876 6525 .9978 4721
16 2 8192 .9968 1254 .9998 6164 .9999 9593
32 2 65536 .9991 9660 .9999 9129 .9999 9993 .9999 9999
6 2 3 3 2187 .9876 8274

4 3 12288 .9922 1478 .9980 4169
5 3 46875 .9947 7752 .9993 3350 1.0000 602
in the second. The first example is

f(x)= r x,(1-x,) e
i=111 (3-e)
x,
and the second

6 4 1
f(x) 1-I-
=1 "rr 1 +(1-2x)
2’
In both cases the results appear to be satisfactory. (However, the small values of n in
the second example draw attention to the fact that Richardson extrapolation may
become impractical for s much greater than about 6.)
8.5. The diagonal sequence { W..}. Of special interest is the family of rules { W,,},
obtained by setting r n in the rule W,r. In this case the number of points in the rule
is N n /1 and we have
p n2= N2/(s+l).
It follows from the expression for P2 in the preceding subsection that P2 O(n -4) for
this case. A more careful argument shows that for a function f that is a Co function
on 0 and has a continuous periodic extension f, the error has an asymptotic expansion
of the form
(8.2) Isv(f)- I(f)-- d4(4f) + d6({ +’’’,

in which it should be especially noted that there is no 1//12 term.
TABLE 2
Richardson extrapolation applied to the sequence of lattice rules
Richardson extrapolations
s Example n N Is(f) 1st 2nd
3 4 256 .9915 5878

8 4096 .9993 9832 .9999 2096
16 65536 .99996115 .99999867 .9999 9991
6 2 3 2187 .9876 8274

4 16384 .9958 5810 .9996 4212
5 78125 .9982 6117 .9999 2834 1.0000 088
In Table 2 we show the results obtained by applying Richardson extrapolation

based on (8.2) to the sequence { W,,} for the same two examples as before. Once again
the extrapolated results appear satisfactory, and in this case the unextrapolated values
(as one would expect from the absence of the 1/n 2 term in (8.2)) are also converging
relatively quickly. There remains a need for further tests and comparisons with other
methods.
Acknowledgment. The authors are indebted to Dr. James Lyness for his helpful
comments on an earlier draft.
REFERENCES
[1] J. W. S. CASSELS, An Introduction to the Geometry of Numbers, Springer-Verlag, Berlin, 1971.

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115-129.
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[7] C. KTTEL, Introduction to Solid State Physics, John Wiley, New York, 1968.
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SIAM J. NUMER. ANAL.

1987 Society for Industrial and Applied Mathematics

LATI’ICE METHODS FOR MULTIPLE INTEGRATION: THEORY, ERROR

Key words, multiple integration, cubature, lattice methods

AMS(MOS) subject classifications. 65D30, 65D32

1. Introduction. The problem we consider is the numerical evaluation of integrals

where U is the unit cube in s dimensions,

(.Very often a preliminary coordinate transformation on U will be required to make

(1.9) S +/-={m: m. x7/Vx S}.

Thus for each v e we define a "displaced lattice rule" I(f, v),

lattice, defined by (1.9).

which for mS +/-

a(m) | e-2i’’f(x) dx.

In(f, ’)- I(f)

contains at most one point of S .

ca R+ ca e(s) (1+ 1)(In3[/+ 1]p) -’

[IN(f)- I(f) <= cd(s, a)

(7.1) PN, IN(f,,) I(f

(7.2) II (f) I(f)l =< cPN, a 2, 4,...,

Also, from (7.1) we have

This may be thought of as the rectangle-rule lattice supplemented by the addition of

points such as (n, -n, 0,. .,

s Example n r N IN(f) 1st 2nd 3rd

3 4 2 128 .9571 1938

6 2 3 3 2187 .9876 8274

in the second. The first example is

and the second

(8.2) Isv(f)- I(f)-- d4(4f) + d6({ +’’’,

s Example n N Is(f) 1st 2nd

3 4 256 .9915 5878

6 2 3 2187 .9876 8274

In Table 2 we show the results obtained by applying Richardson extrapolation

[1] J. W. S. CASSELS, An Introduction to the Geometry of Numbers, Springer-Verlag, Berlin, 1971.

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