Optimal numerical integration and approximation of functions on \mathbb{R}^d equipped with Gaussian measure

arXiv2207.01155MaRDI QIDQ6403879FDOQ6403879

Publication date: 3 July 2022

Abstract: We investigate the numerical approximation of integrals over

m a t h b b R^{d}

equipped with the standard Gaussian measure

g a m m a

for integrands belonging to the Gaussian-weighted Sobolev spaces

W^{a} l p h a_{p} (m a t h b b R^{d}, g a m m a)

of mixed smoothness

a l p h a i n m a t h b b N

for

1 < p < i n f t y

. We prove the asymptotic order of the convergence of optimal quadratures based on

n

integration nodes and propose a novel method for constructing asymptotically optimal quadratures. As for related problems, we establish by a similar technique the asymptotic order of the linear, Kolmogorov and sampling

n

-widths in the Gaussian-weighted space

L_{q} (m a t h b b R^{d}, g a m m a)

of the unit ball of

W^{a} l p h a_{p} (m a t h b b R^{d}, g a m m a)

for

1 l e q q < p < i n f t y

and

q = p = 2

.

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