Asymptotic analysis of average case approximation complexity of Hilbert space valued random elements

DOI10.1016/J.JCO.2015.06.004MaRDI QIDQ890228zbMATH OpenOpenAlexFDO

Publication date 9 November 2015

Published in Journal of Complexity (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1410.4320

asymptotic analysis average case approximation complexity tractability multivariate problems Hilbert space valued random elements

Mathematics Subject Classification ID

Gaussian processes (60G15) Random fields (60G60) Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60) Limit theorems for vector-valued random variables (infinite-dimensional case) (60B12) Stochastic processes (60G99)

Abstract: We study approximation properties of sequences of centered random elements

X_{d}

,

d i n m a t h b b N

, with values in separable Hilbert spaces. We focus on sequences of tensor product-type and, in particular, degree-type random elements, which have covariance operators of corresponding tensor form. The average case approximation complexity

n^{X_{d}} (v a r e p s i l o n)

is defined as the minimal number of continuous linear functionals that is needed to approximate

X_{d}

with relative

2

-average error not exceeding a given threshold

v a r e p s i l o n i n (0, 1)

. In the paper we investigate

n^{X_{d}} (v a r e p s i l o n)

for arbitrary fixed

v a r e p s i l o n i n (0, 1)

and

d o i n f t y

. Namely, we find criteria of (un)boundedness for

n^{X_{d}} (v a r e p s i l o n)

on

d

and of tending

n^{X_{d}} (v a r e p s i l o n) o i n f t y

,

d o i n f t y

, for any fixed

v a r e p s i l o n i n (0, 1)

. In the latter case we obtain necessary and sufficient conditions for the following logarithmic asymptotics �egin{eqnarray*} ln n^{X_d}(varepsilon)= a_d+q(varepsilon)b_d+o(b_d),quad d oinfty, end{eqnarray*} at continuity points of a non-decreasing function

q c o l o n (0, 1) o m a t h b b R

. Here

(a_{d})_{d i n m a t h b b N}

is a sequence and

(b_{d})_{d i n m a t h b b N}

is a positive sequence such that

b_{d} o i n f t y

,

d o i n f t y

. Under rather weak assumptions, we show that for tensor product-type random elements only special quantiles of self-decomposable or, in particular, stable (for tensor degrees) probability distributions appear as functions

q

in the asymptotics. We apply our results to the tensor products of the Euler integrated processes with a given variation of smoothness parameters and to the tensor degrees of random elements with regularly varying eigenvalues of covariance operator.

Recommendations

Cites work

Cited in

(11)

This page was built for publication: Asymptotic analysis of average case approximation complexity of Hilbert space valued random elements

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q890228)