Approximation complexity of sums of random processes

DOI10.1016/J.JCO.2019.02.002MaRDI QIDQ2274403zbMATH OpenOpenAlexFDO

Authors A. A. Khartov, M. Zani

Publication date 19 September 2019

Published in Journal of Complexity (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1805.12581

zbMATH Keywords

Wiener processasymptotic analysisaverage case approximation complexityadditive random fields

Mathematics Subject Classification ID

Random fields (60G60) Algorithms for approximation of functions (65D15)

Abstract: We study approximation properties of additive random fields $Y_d$, $dinmathbbN$, which are sums of zero-mean random processes with the same continuous covariance functions. The average case approximation complexity $n^{Y_d}(varepsilon)$ is defined as the minimal number of evaluations of arbitrary linear functionals needed to approximate $Y_d$, with relative $2$-average error not exceeding a given threshold $varepsilonin(0,1)$. We investigate the growth of $n^{Y_d}(varepsilon)$ for arbitrary fixed $varepsilonin(0,1)$ and $doinfty$. The results are applied to sums of standard Wiener processes.

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Cited in

(6)

• On the complexity of sums of Dirichlet measures
• Asymptotic analysis of average case approximation complexity of additive random fields
• An approximate distribution for the maximum order complexity
• Decomposition of additive random fields
• Asymptotic analysis of average case approximation complexity of Hilbert space valued random elements
• Approximation complexity of additive random fields

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