Some Results on the Complexity of Numerical Integration

This is a survey (21 pages, 124 references) written for the MCQMC 2014 conference in Leuven, April 2014. We start with the seminal paper of Bakhvalov (1959) and end with new results on the curse of dimension and on the complexity of oscillatory integrals. Some small errors of earlier versions are corrected

Stochastic collocation on unstructured multivariate meshes

Collocation has become a standard tool for approximation of parameterized systems in the uncertainty quantification (UQ) community. Techniques for least-squares regularization, compressive sampling recovery, and interpolatory reconstruction are becoming standard tools used in a variety of applications. Selection of a collocation mesh is frequently a challenge, but methods that construct geometrically "unstructured" collocation meshes have shown great potential due to attractive theoretical properties and direct, simple generation and implementation. We investigate properties of these meshes, presenting stability and accuracy results that can be used as guides for generating stochastic collocation grids in multiple dimensions.Comment: 29 pages, 6 figure

On Weak Tractability of the Clenshaw-Curtis Smolyak Algorithm

We consider the problem of integration of d-variate analytic functions defined on the unit cube with directional derivatives of all orders bounded by 1. We prove that the Clenshaw Curtis Smolyak algorithm leads to weak tractability of the problem. This seems to be the first positive tractability result for the Smolyak algorithm for a normalized and unweighted problem. The space of integrands is not a tensor product space and therefore we have to develop a different proof technique. We use the polynomial exactness of the algorithm as well as an explicit bound on the operator norm of the algorithm.Comment: 18 page

Tractability of multivariate analytic problems

In the theory of tractability of multivariate problems one usually studies problems with finite smoothness. Then we want to know which $s$-variate problems can be approximated to within $\varepsilon$ by using, say, polynomially many in $s$ and $\varepsilon^{-1}$ function values or arbitrary linear functionals. There is a recent stream of work for multivariate analytic problems for which we want to answer the usual tractability questions with $\varepsilon^{-1}$ replaced by $1+\log \varepsilon^{-1}$. In this vein of research, multivariate integration and approximation have been studied over Korobov spaces with exponentially fast decaying Fourier coefficients. This is work of J. Dick, G. Larcher, and the authors. There is a natural need to analyze more general analytic problems defined over more general spaces and obtain tractability results in terms of $s$ and $1+\log \varepsilon^{-1}$. The goal of this paper is to survey the existing results, present some new results, and propose further questions for the study of tractability of multivariate analytic questions

Matrix-free weighted quadrature for a computationally efficient isogeometric kk-method

The $k$-method is the isogeometric method based on splines (or NURBS, etc.) with maximum regularity. When implemented following the paradigms of classical finite element methods, the computational resources required by the $k-$method are prohibitive even for moderate degree. In order to address this issue, we propose a matrix-free strategy combined with weighted quadrature, which is an ad-hoc strategy to compute the integrals of the Galerkin system. Matrix-free weighted quadrature (MF-WQ) speeds up matrix operations, and, perhaps even more important, greatly reduces memory consumption. Our strategy also requires an efficient preconditioner for the linear system iterative solver. In this work we deal with an elliptic model problem, and adopt a preconditioner based on the Fast Diagonalization method, an old idea to solve Sylvester-like equations. Our numerical tests show that the isogeometric solver based on MF-WQ is faster than standard approaches (where the main cost is the matrix formation by standard Gaussian quadrature) even for low degree. But the main achievement is that, with MF-WQ, the $k$-method gets orders of magnitude faster by increasing the degree, given a target accuracy. Therefore, we are able to show the superiority, in terms of computational efficiency, of the high-degree $k$-method with respect to low-degree isogeometric discretizations. What we present here is applicable to more complex and realistic differential problems, but its effectiveness will depend on the preconditioner stage, which is as always problem-dependent. This situation is typical of modern high-order methods: the overall performance is mainly related to the quality of the preconditioner