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For a given smooth multivariate function \(\phi = \phi(Y^1,\dots,Y^d)\) depending on \(d\) random variables \(Y^1,\dots,Y^d,\) the authors analyze the problem of approximating \(\phi\) by discrete least-squares projection on a multivariate polynomial space, starting from noise-free observation of \(\phi\) on random evaluations of \(Y^1,\dots,Y^d.\) In Section 2 of the paper is introduced the approximation problem as an \(L^2\) projection on a space of polynomials in \(d\) underlying variables; some common choices of polynomial spaces are also described. Further, the optimality of the random \(L^2\) projection, in terms of a best approximation constant, is proved, and the asymptotic behavior of this best approximation constant is analyzed, as the number of random evaluation points goes to infinity. In Section 3 the previous study is restricted to polynomial spaces in one variable and a theorem is proved, which provides a rule to select the number of random points as a function of the maximal polynomial degree, which makes the discrete random \(L^2\) projection nearly optimal with any prescribed confidence level. Section 4 gives the algebraic formulation of the random projection problem, and Section 5 complements the analysis with numerical tests, both in the one-dimensional case and in higher dimensions, respectively.
Property / review text: For a given smooth multivariate function \(\phi = \phi(Y^1,\dots,Y^d)\) depending on \(d\) random variables \(Y^1,\dots,Y^d,\) the authors analyze the problem of approximating \(\phi\) by discrete least-squares projection on a multivariate polynomial space, starting from noise-free observation of \(\phi\) on random evaluations of \(Y^1,\dots,Y^d.\) In Section 2 of the paper is introduced the approximation problem as an \(L^2\) projection on a space of polynomials in \(d\) underlying variables; some common choices of polynomial spaces are also described. Further, the optimality of the random \(L^2\) projection, in terms of a best approximation constant, is proved, and the asymptotic behavior of this best approximation constant is analyzed, as the number of random evaluation points goes to infinity. In Section 3 the previous study is restricted to polynomial spaces in one variable and a theorem is proved, which provides a rule to select the number of random points as a function of the maximal polynomial degree, which makes the discrete random \(L^2\) projection nearly optimal with any prescribed confidence level. Section 4 gives the algebraic formulation of the random projection problem, and Section 5 complements the analysis with numerical tests, both in the one-dimensional case and in higher dimensions, respectively. / rank
 
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Property / reviewed by: Zoltán Finta / rank
 
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Property / Mathematics Subject Classification ID: 41A10 / rank
 
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Property / Mathematics Subject Classification ID
 
Property / Mathematics Subject Classification ID: 41A25 / rank
 
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Property / Mathematics Subject Classification ID
 
Property / Mathematics Subject Classification ID: 65N12 / rank
 
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Property / Mathematics Subject Classification ID
 
Property / Mathematics Subject Classification ID: 65N15 / rank
 
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Property / Mathematics Subject Classification ID
 
Property / Mathematics Subject Classification ID: 65N35 / rank
 
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Property / zbMATH DE Number: 6339569 / rank
 
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Property / zbMATH Keywords
 
approximation theory
Property / zbMATH Keywords: approximation theory / rank
 
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error analysis
Property / zbMATH Keywords: error analysis / rank
 
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multivariate polynomial approximation
Property / zbMATH Keywords: multivariate polynomial approximation / rank
 
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nonparametric regression
Property / zbMATH Keywords: nonparametric regression / rank
 
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noise-free data
Property / zbMATH Keywords: noise-free data / rank
 
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generalized polynomial chaos
Property / zbMATH Keywords: generalized polynomial chaos / rank
 
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Property / zbMATH Keywords
 
point collocation
Property / zbMATH Keywords: point collocation / rank
 
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Analysis of discrete \(L^2\) projection on polynomial spaces with random evaluations
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    Analysis of discrete \(L^2\) projection on polynomial spaces with random evaluations (English)
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    4 September 2014
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    For a given smooth multivariate function \(\phi = \phi(Y^1,\dots,Y^d)\) depending on \(d\) random variables \(Y^1,\dots,Y^d,\) the authors analyze the problem of approximating \(\phi\) by discrete least-squares projection on a multivariate polynomial space, starting from noise-free observation of \(\phi\) on random evaluations of \(Y^1,\dots,Y^d.\) In Section 2 of the paper is introduced the approximation problem as an \(L^2\) projection on a space of polynomials in \(d\) underlying variables; some common choices of polynomial spaces are also described. Further, the optimality of the random \(L^2\) projection, in terms of a best approximation constant, is proved, and the asymptotic behavior of this best approximation constant is analyzed, as the number of random evaluation points goes to infinity. In Section 3 the previous study is restricted to polynomial spaces in one variable and a theorem is proved, which provides a rule to select the number of random points as a function of the maximal polynomial degree, which makes the discrete random \(L^2\) projection nearly optimal with any prescribed confidence level. Section 4 gives the algebraic formulation of the random projection problem, and Section 5 complements the analysis with numerical tests, both in the one-dimensional case and in higher dimensions, respectively.
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    approximation theory
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    error analysis
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    multivariate polynomial approximation
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    nonparametric regression
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    noise-free data
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    generalized polynomial chaos
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    point collocation
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