This paper investigates the exact rate of convergence in Ulam's method: a w
ell-known discretization scheme for approximating the invariant density of
an absolutely continuous invariant probability measure for piecewise expand
ing interval maps. It is shown by example that the rate is no better than O
(log n/n), where n is the number of cells in the discretization. The result
is in agreement with upper estimates previously established in a number of
general settings, and shows that the conjectured rate of O(1/n) cannot be
obtained, even for extremely regular maps.