Random sections of ellipsoids and the power of random information
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- by Aicke Hinrichs, David Krieg, Erich Novak, Joscha Prochno and Mario Ullrich PDF
- Trans. Amer. Math. Soc. 374 (2021), 8691-8713 Request permission
Abstract:
We study the circumradius of the intersection of an $m$-dimensional ellipsoid $\mathcal E$ with semi-axes $\sigma _1\geq \dots \geq \sigma _m$ with random subspaces of codimension $n$, where $n$ can be much smaller than $m$. We find that, under certain assumptions on $\sigma$, this random radius $\mathcal {R}_n=\mathcal {R}_n(\sigma )$ is of the same order as the minimal such radius $\sigma _{n+1}$ with high probability. In other situations $\mathcal {R}_n$ is close to the maximum $\sigma _1$. The random variable $\mathcal {R}_n$ naturally corresponds to the worst-case error of the best algorithm based on random information for $L_2$-approximation of functions from a compactly embedded Hilbert space $H$ with unit ball $\mathcal E$. In particular, $\sigma _k$ is the $k$th largest singular value of the embedding $H\hookrightarrow L_2$. In this formulation, one can also consider the case $m=\infty$ and we prove that random information behaves very differently depending on whether $\sigma \in \ell _2$ or not. For $\sigma \notin \ell _2$ we get $\mathbb {E}[\mathcal {R}_n] = \sigma _1$ and random information is completely useless. For $\sigma \in \ell _2$ the expected radius tends to zero at least at rate $o(1/\sqrt {n})$ as $n\to \infty$. In the important case \[ \sigma _k \asymp k^{-\alpha } \ln ^{-\beta }(k+1), \] where $\alpha > 0$ and $\beta \in \mathbb {R}$ (which corresponds to various Sobolev embeddings), we prove \begin{equation*} \mathbb E [\mathcal {R}_n(\sigma )] \asymp \left \{\begin {array}{cl} \sigma _1 & \text {if} \quad \alpha <1/2 \text {\, or \,} \beta \leq \alpha =1/2, {2mm} \\ \sigma _{n+1} \, \sqrt {\ln (n+1)} \quad & \text {if} \quad \beta >\alpha =1/2, {2mm} \\ \sigma _{n+1} & \text {if} \quad \alpha >1/2. \end{array}\right . \end{equation*} In the proofs we use a comparison result for Gaussian processes à la Gordon, exponential estimates for sums of chi-squared random variables, and estimates for the extreme singular values of (structured) Gaussian random matrices. The upper bound is constructive. It is proven for the worst case error of a least squares estimator.References
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Additional Information
- Aicke Hinrichs
- Affiliation: Institut für Analysis, Johannes Kepler Universität Linz, Altenbergerstrasse 69, 4040 Linz, Austria
- MR Author ID: 606599
- Email: aicke.hinrichs@jku.at
- David Krieg
- Affiliation: Institut für Analysis, Johannes Kepler Universität Linz, Altenbergerstrasse 69, 4040 Linz, Austria
- MR Author ID: 1225170
- Email: david.krieg@jku.at
- Erich Novak
- Affiliation: Institut für Mathematik, Friedrich Schiller Universität Jena, Ernst-Abbe-Platz 2, 07743 Jena, Germany
- MR Author ID: 132370
- Email: erich.novak@uni-jena.de
- Joscha Prochno
- Affiliation: Institut für Mathematik & Wissenschaftliches Rechnen, Karl-Franzens-Universität Graz, Heinrichstrasse 36, 8010 Graz, Austria
- Address at time of publication: Faculty of Computer Science and Mathematics, University of Passau, Germany
- MR Author ID: 997160
- ORCID: 0000-0002-0750-2850
- Email: joscha.prochno@uni-passau.de
- Mario Ullrich
- Affiliation: Institut für Analysis, Johannes Kepler Universität Linz, Altenbergerstrasse 69, 4040 Linz, Austria; and Moscow Center for Fundamental and Applied Mathematics, Lomonosov Moscow State University, Moscow, Russia
- MR Author ID: 1023200
- ORCID: 0000-0003-1120-8467
- Email: mario.ullrich@jku.at
- Received by editor(s): April 9, 2020
- Received by editor(s) in revised form: April 26, 2021
- Published electronically: September 16, 2021
- Additional Notes: The first and second authors were supported by the Austrian Science Fund (FWF) Project F5513-N26, which is part of the Special Research Program “Quasi-Monte Carlo Methods: Theory and Applications”.
The fourth author was supported by the Austrian Science Fund (FWF) Project P32405 “Asymptotic Geometric Analysis and Applications”, by the FWF Project F5508-N26, which is part of the Special Research Program “Quasi-Monte Carlo Methods: Theory and Applications”, and by a visiting professorship from Ruhr University Bochum and its Research School PLUS. - © Copyright 2021 American Mathematical Society
- Journal: Trans. Amer. Math. Soc. 374 (2021), 8691-8713
- MSC (2020): Primary 42B35, 52A23, 65Y20; Secondary 65D15, 60B20
- DOI: https://doi.org/10.1090/tran/8502
- MathSciNet review: 4337926