Average Case Tractability of Non-homogeneous Tensor Product Problems

We study d-variate approximation problems in the average case setting with respect to a zero-mean Gaussian measure. Our interest is focused on measures having a structure of non-homogeneous linear tensor product, where covariance kernel is a product of univariate kernels. We consider the normalized average error of algorithms that use finitely many evaluations of arbitrary linear functionals. The information complexity is defined as the minimal number n(h,d) of such evaluations for error in the d-variate case to be at most h. The growth of n(h,d) as a function of h^{-1} and d depends on the eigenvalues of the covariance operator and determines whether a problem is tractable or not. Four types of tractability are studied and for each of them we find the necessary and sufficient conditions in terms of the eigenvalues of univariate kernels. We illustrate our results by considering approximation problems related to the product of Korobov kernels characterized by a weights g_k and smoothnesses r_k. We assume that weights are non-increasing and smoothness parameters are non-decreasing. Furthermore they may be related, for instance g_k=g(r_k) for some non-increasing function g. In particular, we show that approximation problem is strongly polynomially tractable, i.e., n(h,d)\le C h^{-p} for all d and 0<h<1, where C and p are independent of h and d, iff liminf |ln g_k|/ln k >1. For other types of tractability we also show necessary and sufficient conditions in terms of the sequences g_k and r_k

Approximation Complexity of Additive Random Fields

International audienceLet X (t), t ∈ [0, 1]d be an additive random field. We investigate the complexity of finite rank approximation n X (t, ω) ≈ ) ξk (ω)ϕk (t). k=1 The results obtained in asymptotic setting d → ∞, as suggested H.Wo'zniakowski, provide quantitative version of dimension curse phe- nomenon: we show that the number of terms in the series needed to obtain a given relative approximation error depends on d exponentially and find the explosion coefficients