Infinite-dimensional integration and the multivariate decomposition method

DOI10.1016/J.CAM.2017.05.031zbMATH Open1370.65013arXiv1501.05445OpenAlexW2964159143MaRDI QIDQ2012602FDOQ2012602

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)

Abstract: We further develop the emph{Multivariate Decomposition Method} (MDM) for the Lebesgue integration of functions of infinitely many variables $x_1,x_2,x_3,ldots$ 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 $f_{mathfraku}$ are available for important subsets $mathfraku$, at some known cost. In this paper we introduce a new setting, in which it is assumed that each $f_{mathfraku}$ belongs to a normed space $F_{mathfraku}$, and that bounds $B_{mathfraku}$ on $|f_{mathfraku}{|}_{F_{mathfraku}}$ are known. This contrasts with the assumption in many papers that weights $gamm{a}_{mathfraku}$, appearing in the norm of the infinite-dimensional function space, are somehow known. Often such weights $gamm{a}_{mathfraku}$ were determined by minimizing an error bound depending on the $B_{mathfraku}$, the $gamm{a}_{mathfraku}$ emph{and} the chosen algorithm, resulting in weights that depend on the algorithm. In contrast, in this paper only the bounds $B_{mathfraku}$ are assumed known. We give two examples in which we specialize the MDM: in the first case $F_{mathfraku}$ is the $|mathfraku|$-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.

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

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zbMATH Keywords

cubaturereproducing kernel Hilbert spacealgorithmerror boundquadratureLebesgue integrationinfinite-dimensionalmultivariate 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)

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Cited In (13)

• Approximation of high-dimensional periodic functions with Fourier-based methods
• Learning multivariate functions with low-dimensional structures using polynomial bases
• On efficient weighted integration via a change of variables
• \( \varepsilon \)-superposition and truncation dimensions in average and probabilistic settings for \(\infty \)-variate linear problems
• Grouped transformations and regularization in high-dimensional explainable ANOVA approximation
• On equivalence of weighted anchored and ANOVA spaces of functions with mixed smoothness of order one in \(L_1\) or \(L_\infty\)
• Sparse additive function decompositions facing basis transforms
• The uniform sparse FFT with application to PDEs with random coefficients
• Efficient implementations of the multivariate decomposition method for approximating infinite-variate integrals
• Efficient algorithms for multivariate and \(\infty\)-variate integration with exponential weight
• MDFEM: multivariate decomposition finite element method for elliptic PDEs with uniform random diffusion coefficients using higher-order QMC and FEM
• Tractability of approximation of \(\infty\)-variate functions with bounded mixed partial derivatives
• MDFEM: multivariate decomposition finite element method for elliptic PDEs with lognormal diffusion coefficients using higher-order QMC and FEM

Uses Software

• QMC4PDE

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