Volume 54, Number 4, July-August 2020
|Page(s)||1259 - 1307|
|Published online||18 June 2020|
Convergence rates of high dimensional Smolyak quadrature
Department of Aeronautics and Astronautics, Massachusetts Institute of Technology, 77 Massachusetts Avenue, Cambridge MA, 02139, USA
2 Seminar for Applied Mathematics (SAM), Eidgenössische Technische Hochschule Zürich (ETHZ), Rämistrasse 101, 8092 Zürich, Switzerland
* Corresponding author: firstname.lastname@example.org
Accepted: 13 January 2020
We analyse convergence rates of Smolyak integration for parametric maps u: U → X taking values in a Banach space X, defined on the parameter domain U = [−1,1]N. For parametric maps which are sparse, as quantified by summability of their Taylor polynomial chaos coefficients, dimension-independent convergence rates superior to N-term approximation rates under the same sparsity are achievable. We propose a concrete Smolyak algorithm to a priori identify integrand-adapted sets of active multiindices (and thereby unisolvent sparse grids of quadrature points) via upper bounds for the integrands’ Taylor gpc coefficients. For so-called “(b,ε)-holomorphic” integrands u with b∈lp(∕) for some p ∈ (0, 1), we prove the dimension-independent convergence rate 2/p − 1 in terms of the number of quadrature points. The proposed Smolyak algorithm is proved to yield (essentially) the same rate in terms of the total computational cost for both nested and non-nested univariate quadrature points. Numerical experiments and a mathematical sparsity analysis accounting for cancellations in quadratures and in the combination formula demonstrate that the asymptotic rate 2/p − 1 is realized computationally for a moderate number of quadrature points under certain circumstances. By a refined analysis of model integrand classes we show that a generally large preasymptotic range otherwise precludes reaching the asymptotic rate 2/p − 1 for practically relevant numbers of quadrature points.
Mathematics Subject Classification: 65D30
Key words: Generalized polynomial chaos / Smolyak quadrature / sparsity / holomorphy / Convergence rates of high dimensional Smolyak quadrature
© EDP Sciences, SMAI 2020
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