Improved error bound for multivariate Chebyshev polynomial interpolation

DOI10.1080/00207160.2019.1599364MaRDI QIDQ5031713zbMATH OpenOpenAlexWikidataFDO

Authors Kathrin Glau, Mirco Mahlstedt

Publication date 16 February 2022

Published in International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1611.08706

zbMATH Keywords

(tensorized) Chebyshev polynomialserror boundspolynomial interpolation

Mathematics Subject Classification ID

Real polynomials: analytic properties, etc. (26C05) Approximation by polynomials (41A10)

Abstract: Chebyshev interpolation is a highly effective, intensively studied method and enjoys excellent numerical properties. The interpolation nodes are known beforehand, implementation is straightforward and the method is numerically stable. For efficiency, a sharp error bound is essential, in particular for high-dimensional applications. For tensorized Chebyshev interpolation, we present an error bound that improves existing results significantly.

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Cites work

• A New Approach for American Option Pricing: The Dynamic Chebyshev Method
• An Extension of Chebfun to Two Dimensions
• Approximation theory and approximation practice
• Chebyshev interpolation for parametric option pricing
• Efficient numerical methods for non-local operators. \(\mathcal H^2\)-matrix compression, algorithms and analysis.
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• scientific article; zbMATH DE number 2110648 (Why is no real title available?)
• Low-rank tensor approximation for Chebyshev interpolation in parametric option pricing
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Cited in

(6)

• Chebyshev interpolation for parametric option pricing
• Krighedge: Gaussian process surrogates for delta hedging
• HODLRdD: a new black-box fast algorithm for N-body problems in d-dimensions with guaranteed error bounds. Applications to integral equations and support vector machines
• Interpolating amplitudes
• An efficient spatial discretization of spans of multivariate Chebyshev polynomials
• Continuous Cross Approximation of Matrices Arising Out of Kernel Functions

Describes a project that uses

Uses Software

• Chebfun
• hlib
• Chebfun2

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