Parametric integration by magic point empirical interpolation

DOI10.1093/IMANUM/DRX072MaRDI QIDQ5113337zbMATHOpenAlexFDO

Authors Maximilian Gaß, Kathrin Glau

Publication date 4 June 2020

Published in IMA Journal of Numerical Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1511.08510

zbMATH Keywords

Fourier transformparametric integrationempirical interpolationonline-offline decompositionmagic point interpolationparametric Fourier inversion

Mathematics Subject Classification ID

Numerical integration (65D30) Approximate quadratures (41A55) Numerical interpolation (65D05) Interpolation in approximation theory (41A05)

Abstract: We derive analyticity criteria for explicit error bounds and an exponential rate of convergence of the magic point empirical interpolation method introduced by Barrault et al. (2004). Furthermore, we investigate its application to parametric integration. We find that the method is well-suited to Fourier transforms and has a wide range of applications in such diverse fields as probability and statistics, signal and image processing, physics, chemistry and mathematical finance. To illustrate the method, we apply it to the evaluation of probability densities by parametric Fourier inversion. Our numerical experiments display convergence of exponential order, even in cases where the theoretical results do not apply.

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Cited in

(2)

• Magic Points in Finance: Empirical Integration for Parametric Option Pricing
• Sampling based approximation of linear functionals in reproducing kernel Hilbert spaces

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