A Stieltjes Algorithm for Generating Multivariate Orthogonal Polynomials

DOI10.1137/22M1477131zbMATH Open1515.65045arXiv2202.04843OpenAlexW4378978085MaRDI QIDQ6155902FDOQ6155902

Akil C. Narayan, Zexin Liu

Publication date: 7 June 2023

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Abstract: Orthogonal polynomials of several variables have a vector-valued three-term recurrence relation, much like the corresponding one-dimensional relation. This relation requires only knowledge of certain recurrence matrices, and allows simple and stable evaluation of multivariate orthogonal polynomials. In the univariate case, various algorithms can evaluate the recurrence coefficients given the ability to compute polynomial moments, but such a procedure is absent in multiple dimensions. We present a new Multivariate Stieltjes (MS) algorithm that fills this gap in the multivariate case, allowing computation of recurrence matrices assuming moments are available. The algorithm is essentially explicit in two and three dimensions, but requires the numerical solution to a non-convex problem in more than three dimensions. Compared to direct Gram-Schmidt-type orthogonalization, we demonstrate on several examples in up to three dimensions that the MS algorithm is far more stable, and allows accurate computation of orthogonal bases in the multivariate setting, in contrast to direct orthogonalization approaches.

Full work available at URL: https://arxiv.org/abs/2202.04843

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zbMATH Keywords

multivariate orthogonal polynomialsStieltjes procedurerecurrence coefficient matrices

Mathematics Subject Classification ID

Orthogonal polynomials and functions in several variables expressible in terms of basic hypergeometric functions in one variable (33D50) Algorithms for approximation of functions (65D15) Orthogonal functions and polynomials, general theory of nontrigonometric harmonic analysis (42C05) Numerical aspects of recurrence relations (65Q30)

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Cited In (5)

• MOPS: multivariate orthogonal polynomials (symbolically)
• On generating discrete orthogonal bivariate polynomials
• Orthogonal polynomials on domains of revolution
• Remark on algorithm 726
• A stable Stieltjes technique for computing orthogonal polynomials and Jacobi matrices associated with a class of singular measures

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