Optimal pointwise sampling for \(L^2\) approximation (Q2052170)

The approximation of a function $u \in L^2(D,\mu)$, where $\mu$ is a measure on a set $D$, by an element $\tilde{u}$ of finite $n$ dimension subspace $V_n$ of $L^2(D,\mu)$, based on pointwise data of $u$ is studied. Therefore, to construct $\tilde{u}$ the evaluation of $u$ on a sample of $m$ points $X = \{x^1,\dots, x^m\} \in D^m$ is allowed. In addition, randomized sampling and reconstruction, in the sense that $X$ will be drawn according to a distribution $\sigma$ over $D^m$, so the error $u - \tilde{u}$ evaluated in some probabilistic sense is considered. The reconstruction map $R : D^m\times \mathbb{C}^m \to V_n$, is obtained through a weighted least-squares method. The computational cost for practically generating the sample $X$ by Kolmogorov $n$-widths is discussed.