On the randomized complexity of Banach space valued integration

DOI10.4064/SM223-3-2MaRDI QIDQ2926672zbMATH OpenOpenAlexFDO

Authors Stefan Heinrich, Aicke Hinrichs

Publication date 3 November 2014

Published in Studia Mathematica (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1312.3290

zbMATH Keywords

Banach space of equal norm typeBanach space-valued integrationcomplexity of integrationminimal error of integrationmultilevel Monte Carlo algorithmoptimal convergencerandomized algorithms

Mathematics Subject Classification ID

Approximate quadratures (41A55) Abstract approximation theory (approximation in normed linear spaces and other abstract spaces) (41A65) Local theory of Banach spaces (46B07) Applications of functional analysis in numerical analysis (46N40) Monte Carlo methods (65C05) Numerical quadrature and cubature formulas (65D32) Complexity and performance of numerical algorithms (65Y20)

Abstract: We study the complexity of Banach space valued integration in the randomized setting. We are concerned with $r$-times continuously differentiable functions on the $d$-dimensional unit cube $Q$, with values in a Banach space $X$, and investigate the relation of the optimal convergence rate to the geometry of $X$. It turns out that the $n$-th minimal errors are bounded by $c{n}^{-r/d-1+1/p}$ if and only if $X$ is of equal norm type $p$.

Review text

The authors study the complexity of Banach space-valued integration in the randomized setting. Let \(Q=[0,\,1]^d\) and let \(C^r(Q,X)\) be the Banach space of all \(r\)-times continuously differentiable functions \(f:\, Q\to X\) where \(X\) is a Banach space. Let \(Sf = \int_Q f(t)\,dt\). Let \(e_n(S,B)\) denote the \(n\)th minimal error of the integration operator \(S\) on the closed unit ball \(B\subset C^r(Q,X)\) in the randomized setting, that is the minimal possible error among all randomized algorithms approximating \(S\) on \(B\) that use at most \(n\) values of the input function \(f\). The authors investigate the relation of the optimal convergence rate to the geometry of \(X\). It is shown that the minimal errors \(e_n(S,B)\) are bounded by \(c\,n^{-r/d -1+1/p}\) for all \(n\in {\mathbb N}\) with some constant \(c>0\) if and only if \(X\) is a Banach space of equal norm type \(p\in [1,\,2]\).

Recommendations

• Complexity of Banach space valued and parametric integration
• Random integrals and type and cotype of Banach space
• Complexity of Banach space valued and parametric stochastic Itô integration
• Complexity of stochastic integration in Sobolev classes
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Cites work

• Complexity of Banach space valued and parametric integration
• Complexity of initial value problems in Banach spaces
• Deterministic and stochastic error bounds in numerical analysis
• scientific article; zbMATH DE number 4975 (Why is no real title available?)
• Monte Carlo approximation of weakly singular integral operators
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Cited in

(7)

• Random integrals and type and cotype of Banach space
• Complexity of Banach space valued and parametric stochastic Itô integration
• Complexity of initial value problems in Banach spaces
• Complexity of Banach space valued and parametric integration
• Complexity of deterministic and randomized methods for multivariate integration problems for the class HpΛ(Id)
• The randomized complexity of indefinite integration
• Monte Carlo convergence rates for kth moments in Banach spaces

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