Hypercontractivity Meets Random Convex Hulls: Analysis of Randomized Multivariate Cubatures

DOI10.1098/RSPA.2022.0725arXiv2210.05787MaRDI QIDQ6413619FDOQ6413619

Authors: Satoshi Hayakawa, Harald Oberhauser, Terence J. Lyons 

Publication date: 11 October 2022

Abstract: Given a probability measure $mu$ on a set $mathcalX$ and a vector-valued function $varphi$, a common problem is to construct a discrete probability measure on $mathcalX$ such that the push-forward of these two probability measures under $varphi$ is the same. This construction is at the heart of numerical integration methods that run under various names such as quadrature, cubature, or recombination. A natural approach is to sample points from $mu$ until their convex hull of their image under $varphi$ includes the mean of $varphi$. Here we analyze the computational complexity of this approach when $varphi$ exhibits a graded structure by using so-called hypercontractivity. The resulting theorem not only covers the classical cubature case of multivariate polynomials, but also integration on pathspace, as well as kernel quadrature for product measures.

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