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Multivariate integration for analytic functions with Gaussian kernels

Authors: Frances Y. Kuo, Ian H. Sloan and Henryk Woźniakowski
Journal: Math. Comp. 86 (2017), 829-853
MSC (2010): Primary 41A63, 41A99; Secondary 65D30
Published electronically: June 29, 2016
MathSciNet review: 3584550
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Abstract: We study multivariate integration of analytic functions defined on  $ \mathbb{R}^d$. These functions are assumed to belong to a reproducing kernel Hilbert space whose kernel is Gaussian, with nonincreasing shape parameters. We prove that a tensor product algorithm based on the univariate Gauss-Hermite quadrature rules enjoys exponential convergence and computes an $ \varepsilon $-approximation for the $ d$-variate integration using an order of $ (\ln \,\varepsilon ^{-1})^d$ function values as $ \varepsilon $ goes to zero. We prove that the exponent $ d$ is sharp by proving a lower bound on the minimal (worst case) error of any algorithm based on finitely many function values. We also consider four notions of tractability describing how the minimal number $ n(\varepsilon ,d)$ of function values needed to find an $ \varepsilon $-approximation in the $ d$-variate case behaves as a function of $ d$ and $ \ln \,\varepsilon ^{-1}$. One of these notions is new. In particular, we prove that for all positive shape parameters, the minimal number $ n(\varepsilon ,d)$ is larger than any polynomial in $ d$ and $ \ln \,\varepsilon ^{-1}$ as $ d$ and $ \varepsilon ^{-1}$ go to infinity. However, it is not exponential in $ d^{\,t}$ and $ \ln \,\varepsilon ^{-1}$ whenever $ t>1$.

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Additional Information

Frances Y. Kuo
Affiliation: School of Mathematics and Statistics, University of New South Wales, Sydney, New South Wales 2052, Australia

Ian H. Sloan
Affiliation: School of Mathematics and Statistics, University of New South Wales, Sydney, New South Wales 2052, Australia

Henryk Woźniakowski
Affiliation: Department of Computer Science, Columbia University, New York, New York 10027 – and – Institute of Applied Mathematics, University of Warsaw, ul. Banacha 2, 02-097 Warszawa, Poland

Received by editor(s): October 9, 2014
Received by editor(s) in revised form: August 5, 2015
Published electronically: June 29, 2016
Article copyright: © Copyright 2016 American Mathematical Society

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