Effective dimension of some weighted pre-Sobolev spaces with dominating mixed partial derivatives

DOI10.1137/17M1158975zbMATH Open1412.41027arXiv1709.06695OpenAlexW2885942546WikidataQ128296686 ScholiaQ128296686MaRDI QIDQ4629327FDOQ4629327

Authors: Art B. Owen 

Publication date: 22 March 2019

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Abstract: This paper considers two notions of effective dimension for quadrature in weighted pre-Sobolev spaces with dominating mixed partial derivatives. We begin by finding a ball in those spaces just barely large enough to contain a function with unit variance. If no function in that ball has more than $varepsilon$ of its variance from ANOVA components involving interactions of order $s$ or more, then the space has effective dimension at most $s$ in the superposition sense. A similar truncation sense notion replaces the cardinality of the ANOVA component by the largest index it contains. Some Poincar'e type inequalities are used to bound variance components by multiples of these space's squared norm and those in turn provide bounds on effective dimension. Very low effective dimension in the superposition sense holds for some spaces defined by product weights in which quadrature is strongly tractable. The superposition dimension is $O(log(1/varepsilon)/log(log(1/varepsilon)))$ just like the superposition dimension used in the multidimensional decomposition method. Surprisingly, even spaces where all subset weights are equal, regardless of their cardinality or included indices, have low superposition dimension in this sense. This paper does not require periodicity of the integrands.

Full work available at URL: https://arxiv.org/abs/1709.06695

Recommendations

• scientific article; zbMATH DE number 1894664
• scientific article; zbMATH DE number 1790456
• Very low truncation dimension for high dimensional integration under modest error demand
• Exact cubature for a class of functions of maximum effective dimension
• Quasi-Monte Carlo and \(\varepsilon\)-truncation dimension in ANOVA spaces

zbMATH Keywords

quasi-Monte CarlotractabilityPoincaré inequalities

Mathematics Subject Classification ID

Numerical integration (65D30) Approximate quadratures (41A55)

Cites Work

• Title not available (Why is that?)
• A Comparison of Three Methods for Selecting Values of Input Variables in the Analysis of Output from a Computer Code
• Large Sample Properties of Simulations Using Latin Hypercube Sampling
• A Class of Statistics with Asymptotically Normal Distribution
• Title not available (Why is that?)
• On the Lambert \(w\) function
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Quasi-Monte Carlo finite element methods for a class of elliptic partial differential equations with random coefficients
• When are quasi-Monte Carlo algorithms efficient for high dimensional integrals?
• Tractability of multivariate problems. Volume II: Standard information for functionals.
• On embeddings of weighted tensor product Hilbert spaces
• 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
• Very low truncation dimension for high dimensional integration under modest error demand
• Fast algorithms for component-by-component construction of rank-1 lattice rules in shift-invariant reproducing kernel Hilbert spaces
• On decompositions of multivariate functions
• High-dimensional integration: The quasi-Monte Carlo way
• Integration and approximation in arbitrary dimensions
• Constructing Randomly Shifted Lattice Rules in Weighted Sobolev Spaces
• H = W
• The effective dimension and quasi-Monte Carlo integration
• Title not available (Why is that?)
• A new derivative based importance criterion for groups of variables and its link with the global sensitivity indices
• Title not available (Why is that?)
• Estimating Mean Dimensionality of Analysis of Variance Decompositions
• Title not available (Why is that?)
• Derivative based global sensitivity measures and their link with global sensitivity indices
• Quasi-Monte Carlo methods for high-dimensional integration: the standard (weighted Hilbert space) setting and beyond
• Variance reduction via lattice rules
• Latin supercube sampling for very high-dimensional simulations
• Good lattice rules in weighted Korobov spaces with general weights
• A note on equivalence of anchored and ANOVA spaces; lower bounds
• Liberating the dimension
• On tractability of linear tensor product problems for \(\infty \)-variate classes of functions
• Total interaction index: a variance-based sensitivity index for second-order interaction screening
• Liberating the dimension for function approximation and integration
• Liberating the dimension for function approximation
• Tractability of infinite-dimensional integration in the worst case and randomized settings
• Quadrature Error Bounds with Applications to Lattice Rules
• Finite-order weights imply tractability of multivariate integration
• The smoothing effect of the ANOVA decomposition
• Variance components and generalized Sobol' indices
• On average dimensions of particle transport estimators
• Derivative-based global sensitivity measures: general links with Sobol' indices and numerical tests
• Truncation dimension for linear problems on multivariate function spaces
• Finite-order Integration Weights Can be Dangerous
• The use of ω2-distribution for error estimation in the calculation of integrals by the Monte Carlo method
• Small superposition dimension and active set construction for multivariate integration under modest error demand
• Truncation dimension for function approximation

Cited In (9)

• Approximation of high-dimensional periodic functions with Fourier-based methods
• Super-polynomial accuracy of multidimensional randomized nets using the median-of-means
• Linking the Hoeffding-sobol and Möbius formulas through a decomposition of Kuo, Sloan, Wasilkowski, and Woźniakowski
• Quasi-Monte Carlo and \(\varepsilon\)-truncation dimension in ANOVA spaces
• Grouped transformations and regularization in high-dimensional explainable ANOVA approximation
• Interpretable approximation of high-dimensional data
• On the effective dimension and multilevel Monte Carlo
• Title not available (Why is that?)
• Comment: unreasonable effectiveness of Monte Carlo

This page was built for publication: Effective dimension of some weighted pre-Sobolev spaces with dominating mixed partial derivatives

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4629327)