Infinite-dimensional integration and the multivariate decomposition method

DOI10.1016/J.CAM.2017.05.031MaRDI QIDQ2012602zbMATH OpenOpenAlexFDO

Authors F. Y. Kuo, Dirk Nuyens, Ian H. Sloan, Leszek Plaskota, Grzegorz W. Wasilkowski

Publication date 1 August 2017

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1501.05445

cubature reproducing kernel Hilbert space algorithm error bound quadrature Lebesgue integration infinite-dimensional multivariate decomposition method

Mathematics Subject Classification ID

Numerical quadrature and cubature formulas (65D32) Multidimensional problems (41A63) Approximate quadratures (41A55) Hilbert spaces with reproducing kernels (= (proper) functional Hilbert spaces, including de Branges-Rovnyak and other structured spaces) (46E22) Integration of real functions of several variables: length, area, volume (26B15)

Abstract: We further develop the emph{Multivariate Decomposition Method} (MDM) for the Lebesgue integration of functions of infinitely many variables

x_{1}, x_{2}, x_{3}, l d o t s

with respect to a corresponding product of a one dimensional probability measure. Although a number of concepts of infinite-dimensional integrals have been used in the literature, questions of uniqueness and compatibility have mostly not been studied. We show that, under appropriate convergence conditions, the Lebesgue integral equals the `anchored' integral, independently of the anchor. The MDM assumes that point values of

f_{m a t h f r a k u}

are available for important subsets

m a t h f r a k u

, at some known cost. In this paper we introduce a new setting, in which it is assumed that each

f_{m a t h f r a k u}

belongs to a normed space

F_{m a t h f r a k u}

, and that bounds

B_{m a t h f r a k u}

on

| f_{m a t h f r a k u} |_{F_{m a t h f r a k u}}

are known. This contrasts with the assumption in many papers that weights

g a m m a_{m a t h f r a k u}

, appearing in the norm of the infinite-dimensional function space, are somehow known. Often such weights

g a m m a_{m a t h f r a k u}

were determined by minimizing an error bound depending on the

B_{m a t h f r a k u}

, the

g a m m a_{m a t h f r a k u}

emph{and} the chosen algorithm, resulting in weights that depend on the algorithm. In contrast, in this paper only the bounds

B_{m a t h f r a k u}

are assumed known. We give two examples in which we specialize the MDM: in the first case

F_{m a t h f r a k u}

is the

| m a t h f r a k u |

-fold tensor product of an anchored reproducing kernel Hilbert space, and in the second case it is a particular non-Hilbert space for integration over an unbounded domain.

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