Improved error bound for multivariate Chebyshev polynomial interpolation

DOI10.1080/00207160.2019.1599364zbMath1499.41012arXiv1611.08706OpenAlexW2557628074WikidataQ128162695 ScholiaQ128162695MaRDI QIDQ5031713

Mirco Mahlstedt, Kathrin Glau

Publication date: 16 February 2022

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1611.08706

zbMATH Keywords

error boundspolynomial interpolation(tensorized) Chebyshev polynomials

Mathematics Subject Classification ID

Approximation by polynomials (41A10) Real polynomials: analytic properties, etc. (26C05)

Related Items (2)

KrigHedge: Gaussian Process Surrogates for Delta Hedging ⋮ HODLR\(d\)D: a new black-box fast algorithm for \(N\)-body problems in \(d\)-dimensions with guaranteed error bounds. Applications to integral equations and support vector machines

Uses Software

• hlib
• Chebfun
• Chebfun2

Cites Work

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• Efficient numerical methods for non-local operators. \(\mathcal H^2\)-matrix compression, algorithms and analysis.
• Chebyshev interpolation for parametric option pricing
• High dimensional polynomial interpolation on sparse grids
• A New Approach for American Option Pricing: The Dynamic Chebyshev Method
• Low-Rank Tensor Approximation for Chebyshev Interpolation in Parametric Option Pricing
• An Extension of Chebfun to Two Dimensions

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