A Lanczos method for approximating composite functions

DOI10.1016/J.AMC.2012.05.009zbMATH Open1283.65016arXiv1110.0058OpenAlexW2059879831MaRDI QIDQ388581FDOQ388581

Authors: P. Constantine, Eric T. Phipps 

Publication date: 2 January 2014

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Abstract: We seek to approximate a composite function h(x) = g(f(x)) with a global polynomial. The standard approach chooses points x in the domain of f and computes h(x) at each point, which requires an evaluation of f and an evaluation of g. We present a Lanczos-based procedure that implicitly approximates g with a polynomial of f. By constructing a quadrature rule for the density function of f, we can approximate h(x) using many fewer evaluations of g. The savings is particularly dramatic when g is much more expensive than f or the dimension of x is large. We demonstrate this procedure with two numerical examples: (i) an exponential function composed with a rational function and (ii) a Navier-Stokes model of fluid flow with a scalar input parameter that depends on multiple physical quantities.

Full work available at URL: https://arxiv.org/abs/1110.0058

Recommendations

• Enhanced matrix function approximation
• A restarted Lanczos approximation to functions of a symmetric matrix
• Computing \(f(A)b\) via least squares polynomial approximations
• Estimating composite functions by model selection
• The extended global Lanczos method, Gauss-Radau quadrature, and matrix function approximation

zbMATH Keywords

exponential functiondimension reductionGaussian quadraturenumerical exampleorthogonal polynomialsrational functionLanczos' methodNavier-Stokes model

Mathematics Subject Classification ID

Numerical quadrature and cubature formulas (65D32) Approximate quadratures (41A55) Navier-Stokes equations for incompressible viscous fluids (76D05) Algorithms for approximation of functions (65D15)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Parallel iterative methods for sparse linear systems
• Title not available (Why is that?)
• Behavior of slightly perturbed Lanczos and conjugate-gradient recurrences
• The Wiener--Askey Polynomial Chaos for Stochastic Differential Equations
• High-Order Collocation Methods for Differential Equations with Random Inputs
• An overview of the Trilinos project
• The Lanczos and conjugate gradient algorithms in finite precision arithmetic
• Predicting the Behavior of Finite Precision Lanczos and Conjugate Gradient Computations
• The Lanczos Algorithm With Partial Reorthogonalization
• The Lanczos and Conjugate Gradient Algorithms
• Matrices, moments and quadrature. II: How to compute the norm of the error iterative methods
• Large-scale stabilized FE computational analysis of nonlinear steady-state transport/reaction systems
• Time-dependent generalized polynomial chaos
• Analysis of the symmetric Lanczos algorithm with reorthogonalization methods
• On sensitivity of Gauss-Christoffel quadrature
• Efficient descriptor-vector multiplications in stochastic automata networks
• Non intrusive iterative stochastic spectral representation with application to compressible gas dynamics
• The numerically stable reconstruction of Jacobi matrices from spectral data

Cited In (6)

• Systems of Gaussian process models for directed chains of solvers
• Gaussian Quadrature and Polynomial Approximation for One-Dimensional Ridge Functions
• Efficient uncertainty propagation for network multiphysics systems
• Iterative Polynomial Approximation Adapting to Arbitrary Probability Distribution
• Gauss-Christoffel quadrature for inverse regression: applications to computer experiments
• Title not available (Why is that?)

Uses Software

• Trilinos
• OPQ

This page was built for publication: A Lanczos method for approximating composite functions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q388581)