Sparse approximation of multilinear problems with applications to kernel-based methods in UQ (Q1749442)
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| English | Sparse approximation of multilinear problems with applications to kernel-based methods in UQ |
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Sparse approximation of multilinear problems with applications to kernel-based methods in UQ (English)
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16 May 2018
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This paper develops a general framework for the sparse approximation of multilinear problems using Smolyak's algorithm. The obtained complexity bounds are, up to logarithmic factors, independent of the number of inputs. It is demonstrated that the framework can be used to construct and analyze fast kernel-based algorithms for several problems in uncertainty quantification. The results, which are backed by numerical tests, generalize previous work on sparse wavelet approximation and on the analysis of multilevel algorithms.
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multilinear problems
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sparse approximation
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kernel-based methods
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uncertainty quantification
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Smolyak's algorithm
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