  In the present paper we prove several results concerning the existence of
low-discrepancy point sets with respect to an arbitrary non-uniform measure
$\mu$ on the $d$-dimensional unit cube. We improve a theorem of Beck, by
showing that for any $d \geq 1$, $N \geq 1,$ and any non-negative, normalized
Borel measure $\mu$ on $[0,1]^d$ there exists a point set $x_1, \dots, x_N \in
[0,1]^d$ whose star-discrepancy with respect to $\mu$ is of order $$ D_N^*(x_1,
\dots, x_N; \mu) \ll \frac{(\log N)^{(3d+1)/2}}{N}. $$ For the proof we use a
theorem of Banaszczyk concerning the balancing of vectors, which implies an
upper bound for the linear discrepancy of hypergraphs. Furthermore, the theory
of large deviation bounds for empirical processes indexed by sets is discussed,
and we prove a numerically explicit upper bound for the inverse of the
discrepancy for Vapnik--\v{C}ervonenkis classes. Finally, using a recent
version of the Koksma--Hlawka inequality due to Brandolini, Colzani, Gigante
and Travaglini, we show that our results imply the existence of cubature rules
yielding fast convergence rates for the numerical integration of functions
having discontinuities of a certain form.
