Latin Hypercube Sampling and Fibonacci Based Lattice Method Comparison for Computation of Multidimensional Integrals

We perform computational investigations to compare the performance of Latin hypercube sampling (LHS method) and a particular QMC lattice rule based on generalized Fibonacci numbers (FIBO method) for integration of smooth functions of various dimensions. The two methods have not been compared before and both are generally recommended in case of smooth integrands. The numerical results suggests that the FIBO method is better than LHS method for low-dimensional integrals, while LHS outperforms FIBO when the integrand dimension is higher. The Sobol nets, which performence is given as a reference, are outperformed by at least one of the two discussed methods, in any of the considered examples.