Very low truncation dimension for high dimensional integration under modest error demand

DOI10.1016/J.JCO.2016.02.002zbMATH Open1342.65098arXiv1506.02458OpenAlexW2225438200MaRDI QIDQ290796FDOQ290796

Friedrich Pillichshammer, Grzegorz W. Wasilkowski, Peter Kritzer

Publication date: 3 June 2016

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

Abstract: We consider the problem of numerical integration for weighted anchored and ANOVA Sobolev spaces of $s$-variate functions. Here $s$ is large including $s=infty$. Under the assumption of sufficiently fast decaying weights, we prove in a constructive way that such integrals can be approximated by quadratures for functions $f_k$ with only $k$ variables, where $k=k(varepsilon)$ depends solely on the error demand $varepsilon$ and is surprisingly small when $s$ is sufficiently large relative to $varepsilon$. This holds, in particular, for $s=infty$ and arbitrary $varepsilon$ since then $k(varepsilon)<infty$ for all $varepsilon$. Moreover $k(varepsilon)$ does not depend on the function being integrated, i.e., is the same for all functions from the unit ball of the space.

Full work available at URL: https://arxiv.org/abs/1506.02458

zbMATH Keywords

numerical integrationquadraturetruncation dimensionweighted anchored and ANOVA Sobolev spaces

Mathematics Subject Classification ID

Numerical integration (65D30)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Introduction to Quasi-Monte Carlo Integration and Applications
• Lattice rules for nonperiodic smooth integrands
• Component-by-component construction of good lattice rules
• Component-by-component constructions achieve the optimal rate of convergence for multivariate integration in weighted Korobov and Sobolev spaces
• On embeddings of weighted tensor product Hilbert spaces
• Equivalence of weighted anchored and ANOVA spaces of functions with mixed smoothness of order one in \(L_p\)
• Tractability of approximation of \(\infty\)-variate functions with bounded mixed partial derivatives
• Fast component-by-component construction of rank-1 lattice rules with a non-prime number of points
• On the step-by-step construction of quasi--Monte Carlo integration rules that achieve strong tractability error bounds in weighted Sobolev spaces
• Fast algorithms for component-by-component construction of rank-1 lattice rules in shift-invariant reproducing kernel Hilbert spaces
• On decompositions of multivariate functions
• A reduced fast component-by-component construction of lattice points for integration in weighted spaces with fast decreasing weights
• High-dimensional integration: The quasi-Monte Carlo way
• Equivalence of anchored and ANOVA spaces via interpolation
• On the convergence rate of the component-by-component construction of good lattice rules
• On equivalence of weighted anchored and ANOVA spaces of functions with mixed smoothness of order one in \(L_1\) or \(L_\infty\)

Cited In (15)

• Quasi-Monte Carlo and \(\varepsilon\)-truncation dimension in ANOVA spaces
• Truncation in average and worst case settings for special classes of \(\infty \)-variate functions
• Embeddings for infinite-dimensional integration and \(L_2\)-approximation with increasing smoothness
• \( \varepsilon \)-superposition and truncation dimensions in average and probabilistic settings for \(\infty \)-variate linear problems
• Embeddings of weighted Hilbert spaces and applications to multivariate and infinite-dimensional integration
• Small superposition dimension and active set construction for multivariate integration under modest error demand
• On quasi-Monte Carlo methods in weighted ANOVA spaces
• Approximation methods for piecewise deterministic Markov processes and their costs
• A note on concatenation of quasi-Monte Carlo and plain Monte Carlo rules in high dimensions
• Truncation Dimension for Function Approximation
• Effective Dimension of Some Weighted Pre-Sobolev Spaces with Dominating Mixed Partial Derivatives
• A note on equivalence of anchored and ANOVA spaces; lower bounds
• Equivalence of weighted anchored and ANOVA spaces of functions with mixed smoothness of order one in \(L_p\)
• Equivalence between Sobolev spaces of first-order dominating mixed smoothness and unanchored ANOVA spaces on ℝ^{𝕕}
• Truncation dimension for linear problems on multivariate function spaces

This page was built for publication: Very low truncation dimension for high dimensional integration under modest error demand

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q290796)