Sparse approximation of triangular transports. Part II: the infinite dimensional case

DOI10.1007/S00365-022-09570-9MaRDI QIDQ6373949arXivFDO

Authors J. Zech, Youssef M. Marzouk

Publication date 28 July 2021

Published in arXiv

Full work available at URL https://doi.org/10.1007/S00365-022-09570-9

Mathematics Subject Classification ID

Domains of holomorphy (32D05) Approximation by polynomials (41A10) Rate of convergence, degree of approximation (41A25) Approximation by arbitrary nonlinear expressions; widths and entropy (41A46) Sampling theory, sample surveys (62D05)

arXiv classification

cs.NAmath.NAmath.STstat.TH

Abstract: For two probability measures $ho$ and $pi$ on $[-1,1{]}^{mathbbN}$ we investigate the approximation of the triangular Knothe-Rosenblatt transport $T:[-1,1{]}^{mathbbN}o[-1,1{]}^{mathbbN}$ that pushes forward $ho$ to $pi$. Under suitable assumptions, we show that $T$ can be approximated by rational functions without suffering from the curse of dimension. Our results are applicable to posterior measures arising in certain inference problems where the unknown belongs to an (infinite dimensional) Banach space. In particular, we show that it is possible to efficiently approximately sample from certain high-dimensional measures by transforming a lower-dimensional latent variable.

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