Infinite-Dimensional Integration on Weighted Hilbert Spaces

Michael Gnewuch

Infinite-Dimensional Integration on Weighted Hilbert Spaces
Gnewuch, Michael
Computer Science
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Columbia University Computer Science Technical Reports
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Department of Computer Science, Columbia University
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New York
We study the numerical integration problem for functions with infinitely many variables. The functions we want to integrate are from a reproducing kernel Hilbert space which is endowed with a weighted norm. We study the worst case ε-complexity which is defined as the minimal cost among all algorithms whose worst case error over the Hilbert space unit ball is at most ε. Here we assume that the cost of evaluating a function depends polynomially on the number of active variables. The infinite-dimensional integration problem is (polynomially) tractable if the ε-complexity is bounded by a constant times a power of 1/ε. The smallest such power is called the exponent of tractability. First we study finite-order weights. We provide improved lower bounds for the exponent of tractability for general finite-order weights and improved upper bounds for three newly defined classes of finite-order weights. The constructive upper bounds are obtained by multilevel algorithms that use for each level quasi-Monte Carlo integration points whose projections onto specific sets of coordinates exhibit a small discrepancy. The newly defined finite-intersection weights model the situation where each group of variables interacts with at most ρ other groups of variables, where ρ is some fixed number. For these weights we obtain a sharp upper bound. This is the first class of weights for which the exact exponent of tractability is known for any possible decay of the weights and for any polynomial degree of the cost function. For the other two classes of finite-order weights our upper bounds are sharp if, e.g., the decay of the weights is fast or slow enough. We extend our analysis to the case of arbitrary weights. In particular, from our results for finite-order weights, we conclude a lower bound on the exponent of tractability for arbitrary weights and a constructive upper bound for product weights. Although we confine ourselves for simplicity to explicit upper bounds for four classes of weights, we stress that our multilevel algorithm together with our default choice of quasi-Monte Carlo points is applicable to any class of weights.
Computer science
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Michael Gnewuch, , Infinite-Dimensional Integration on Weighted Hilbert Spaces, Columbia University Academic Commons, .

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