Bayesian quadrature for H^1(\mu) with Poincar\'e inequality on a compact interval

arXiv2207.14564MaRDI QIDQ6406441FDOQ6406441

Fabrice Gamboa, Nora Lüthen, O. Roustant

Publication date: 29 July 2022

Abstract: Motivated by uncertainty quantification of complex systems, we aim at finding quadrature formulas of the form $in{t}_a^{b}f(x)dmu(x)=su{m}_{i=1}^n{w}_{i}f(x_i)$ where $f$ belongs to $H^1(mu)$. Here, $mu$ belongs to a class of continuous probability distributions on $[a,b]subsetmathbbR$ and $su{m}_{i=1}^n{w}_{i}delt{a}_{x_i}$ is a discrete probability distribution on $[a,b]$. We show that $H^1(mu)$ is a reproducing kernel Hilbert space with a continuous kernel $K$, which allows to reformulate the quadrature question as a Bayesian (or kernel) quadrature problem. Although $K$ has not an easy closed form in general, we establish a correspondence between its spectral decomposition and the one associated to Poincar'e inequalities, whose common eigenfunctions form a $T$-system (Karlin and Studden, 1966). The quadrature problem can then be solved in the finite-dimensional proxy space spanned by the first eigenfunctions. The solution is given by a generalized Gaussian quadrature, which we call Poincar'e quadrature. We derive several results for the Poincar'e quadrature weights and the associated worst-case error. When $mu$ is the uniform distribution, the results are explicit: the Poincar'e quadrature is equivalent to the midpoint (rectangle) quadrature rule. Its nodes coincide with the zeros of an eigenfunction and the worst-case error scales as $fracb-a2sqrt3n^{-1}$ for large $n$. By comparison with known results for $H^1(0,1)$, this shows that the Poincar'e quadrature is asymptotically optimal. For a general $mu$, we provide an efficient numerical procedure, based on finite elements and linear programming. Numerical experiments provide useful insights: nodes are nearly evenly spaced, weights are close to the probability density at nodes, and the worst-case error is approximately $O(n^{-1})$ for large $n$.

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