Dependence on the Dimension for Complexity of Approximation of Random Fields

DOI10.1137/S0040585X97984139MaRDI QIDQ3580090zbMATH OpenFDO

Authors Nora Serdyukova

Publication date 11 August 2010

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0701058

zbMATH Keywords

curse of dimensionalityGaussian processesinformation-based complexityKarhunen-Loeve expansionlinear approximation errormultivariate linear problemsrandom fieldstractability

Mathematics Subject Classification ID

Approximation by other special function classes (41A30) Gaussian processes (60G15) Random fields (60G60)

Abstract: We consider an eps-approximation by n-term partial sums of the Karhunen-Lo`eve expansion to d-parametric random fields of tensor product-type in the average case setting. We investigate the behavior, as d tends to infinity, of the information complexity n(eps,d) of approximation with error not exceeding a given level eps. It was recently shown by M.A. Lifshits and E.V. Tulyakova that for this problem one observes the curse of dimensionality (intractability) phenomenon. The aim of this paper is to give the exact asymptotic expression for the information complexity n(eps,d).

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Cited in

(6)

• On the history of St. Petersburg school of probability and mathematical statistics. II: Random processes and dependent variables
• Curse of dimensionality in approximation of random fields
• Average approximation of tensor product-type random fields of increasing dimension
• Intrinsic Complexity and Scaling Laws: From Random Fields to Random Vectors
• Approximation in probability of tensor product-type random fields of increasing parametric dimension
• Approximation complexity of additive random fields

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