Equivalence between Sobolev spaces of first-order dominating mixed smoothness and unanchored ANOVA spaces on R^d

DOI10.1090/MCOM/3718MaRDI QIDQ5082038zbMATH OpenOpenAlexFDO

Authors Alexander D. Gilbert, F. Y. Kuo, Ian H. Sloan

Publication date 15 June 2022

Published in Mathematics of Computation (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2103.16075

zbMATH Keywords

quasi-Monte Carlo methodSobolev space of first-order dominating mixed smoothnessunanchored ANOVA space

Mathematics Subject Classification ID

Sobolev spaces and other spaces of ``smooth functions, embedding theorems, trace theorems (46E35) Numerical integration (65D30)

Abstract: We prove that a variant of the classical Sobolev space of first-order dominating mixed smoothness is equivalent (under a certain condition) to the unanchored ANOVA space on $mathbb{R}^d$, for $dgeq1$. Both spaces are Hilbert spaces involving weight functions, which determine the behaviour as different variables tend to $pminfty$, and weight parameters, which represent the influence of different subsets of variables. The unanchored ANOVA space on $mathbb{R}^d$ was initially introduced by Nichols & Kuo in 2014 to analyse the error of quasi-Monte Carlo (QMC) approximations for integrals on unbounded domains; whereas the classical Sobolev space of dominating mixed smoothness was used as the setting in a series of papers by Griebel, Kuo & Sloan on the smoothing effect of integration, in an effort to develop a rigorous theory on why QMC methods work so well for certain non-smooth integrands with kinks or jumps coming from option pricing problems. In this same setting, Griewank, Kuo, Le"ovey & Sloan in 2018 subsequently extended these ideas by developing a practical smoothing by preintegration technique to approximate integrals of such functions with kinks or jumps. We first prove the equivalence in one dimension (itself a non-trivial task), before following a similar, but more complicated, strategy to prove the equivalence for general dimensions. As a consequence of this equivalence, we analyse applying QMC combined with a preintegration step to approximate the fair price of an Asian option, and prove that the error of such an approximation using $N$ points converges at a rate close to $1/N$.

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Cited in

(9)

• Equivalence of weighted anchored and ANOVA spaces of functions with mixed smoothness of order one in \(L_p\)
• Analysis of Preintegration Followed by Quasi–Monte Carlo Integration for Distribution Functions and Densities
• Equivalence of anchored and ANOVA spaces via interpolation
• Variable transformations in combination with wavelets and ANOVA for high-dimensional approximation
• Constructive approximation of high-dimensional functions with small efficient dimension with applications in uncertainty quantification
• Density estimation for elliptic PDE with random input by preintegration and quasi-Monte Carlo methods
• Theory and construction of quasi-Monte Carlo rules for Asian option pricing and density estimation
• A median QMC method for unbounded integrands over \(\mathbb{R}^s\) in weighted unanchored Sobolev spaces
• On equivalence of weighted anchored and ANOVA spaces of functions with mixed smoothness of order one in \(L_1\) or \(L_\infty\)

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