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Integration and approximation in arbitrary dimensions

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Abstract

We study multivariate integration and approximation for various classes of functions of d variables with arbitrary d. We consider algorithms that use function evaluations as the information about the function. We are mainly interested in verifying when integration and approximation are tractable and strongly tractable. Tractability means that the minimal number of function evaluations needed to reduce the initial error by a factor of ɛ is bounded by C(d)ɛ−p for some exponent p independent of d and some function C(d). Strong tractability means that C(d) can be made independent of d. The ‐exponents of tractability and strong tractability are defined as the smallest powers of ɛ{-1} in these bounds.

We prove that integration is strongly tractable for some weighted Korobov and Sobolev spaces as well as for the Hilbert space whose reproducing kernel corresponds to the covariance function of the isotropic Wiener measure. We obtain bounds on the ‐exponents, and for some cases we find their exact values. For some weighted Korobov and Sobolev spaces, the strong ‐exponent is the same as the ‐exponent for d=1, whereas for the third space it is 2.

For approximation we also consider algorithms that use general evaluations given by arbitrary continuous linear functionals as the information about the function. Our main result is that the ‐exponents are the same for general and function evaluations. This holds under the assumption that the orthonormal eigenfunctions of the covariance operator have uniformly bounded L∞ norms. This assumption holds for spaces with shift-invariant kernels. Examples of such spaces include weighted Korobov spaces. For a space with non‐shift‐invariant kernel, we construct the corresponding space with shift-invariant kernel and show that integration and approximation for the non-shift-invariant kernel are no harder than the corresponding problems with the shift-invariant kernel. If we apply this construction to a weighted Sobolev space, whose kernel is non-shift-invariant, then we obtain the corresponding Korobov space. This enables us to derive the results for weighted Sobolev spaces.

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Authors and Affiliations

  1. Department of Mathematics, Hong Kong Baptist University, Kowloon Tong, Hong Kong, China E-mail:

    F.J. Hickernell

  2. Department of Computer Science, Columbia University, New York, NY, 10027, USA, and

    H. Woźniakowski

  3. Institute of Applied Mathematics, University of Warsaw, ul. Banacha 2, 02‐097, Warsaw, Poland E-mail:

    H. Woźniakowski

Authors
  1. F.J. Hickernell
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  2. H. Woźniakowski
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Hickernell, F., Woźniakowski, H. Integration and approximation in arbitrary dimensions. Advances in Computational Mathematics 12, 25–58 (2000). https://doi.org/10.1023/A:1018948631251

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