Extensible grids: uniform sampling on a space-filling curve

Abstract: We study the properties of points in $[0,1]^d$ generated by applying Hilbert's space-filling curve to uniformly distributed points in $[0,1]$. For deterministic sampling we obtain a discrepancy of $O(n^{-1/d})$ for $d\ge2$. For random stratified sampling, and scrambled van der Corput points, we get a mean squared error of $O(n^{-1-2/d})$ for integration of Lipshitz continuous integrands, when $d\ge3$. These rates are the same as one gets by sampling on $d$ dimensional grids and they show a deterioration with increasing $d$. The rate for Lipshitz functions is however best possible at that level of smoothness and is better than plain IID sampling. Unlike grids, space-filling curve sampling provides points at any desired sample size, and the van der Corput version is extensible in $n$. Additionally we show that certain discontinuous functions with infinite variation in the sense of Hardy and Krause can be integrated with a mean squared error of $O(n^{-1-1/d})$. It was previously known only that the rate was $o(n^{-1})$. Other space-filling curves, such as those due to Sierpinski and Peano, also attain these rates, while upper bounds for the Lebesgue curve are somewhat worse, as if the dimension were $\log_2(3)$ times as high.