HighDimensional Function Approximation: Breaking the Curse with Monte Carlo Methods
Abstract
In this dissertation we study the tractability of the informationbased complexity $n(\varepsilon,d)$ for $d$variate function approximation problems. In the deterministic setting for many unweighted problems the curse of dimensionality holds, that means, for some fixed error tolerance $\varepsilon>0$ the complexity $n(\varepsilon,d)$ grows exponentially in $d$. For integration problems one can usually break the curse with the standard Monte Carlo method. For function approximation problems, however, similar effects of randomization have been unknown so far. The thesis contains results on three more or less standalone topics. For an extended five page abstract, see the section "Introduction and Results". Chapter 2 is concerned with lower bounds for the Monte Carlo error for general linear problems via Bernstein numbers. This technique is applied to the $L_{\infty}$approximation of certain classes of $C^{\infty}$functions, where it turns out that randomization does not affect the tractability classification of the problem. Chapter 3 studies the $L_{\infty}$approximation of functions from Hilbert spaces with methods that may use arbitrary linear functionals as information. For certain classes of periodic functions from unweighted periodic tensor product spaces, in particular Korobov spaces, we observe the curse of dimensionality in the deterministic setting, while with randomized methods we achieve polynomial tractability. Chapter 4 deals with the $L_1$approximation of monotone functions via function values. It is known that this problem suffers from the curse in the deterministic setting. An improved lower bound shows that the problem is still intractable in the randomized setting. However, Monte Carlo breaks the curse, in detail, for any fixed error tolerance $\varepsilon>0$ the complexity $n(\varepsilon,d)$ grows exponentially in $\sqrt{d}$ only.
 Publication:

arXiv eprints
 Pub Date:
 April 2017
 DOI:
 10.48550/arXiv.1704.08213
 arXiv:
 arXiv:1704.08213
 Bibcode:
 2017arXiv170408213K
 Keywords:

 Mathematics  Numerical Analysis;
 41A17;
 41A25;
 41A46;
 41A63;
 41A65;
 65C05;
 65J05
 EPrint:
 This is the author's submitted PhD thesis, still in the referee process