Convergence estimates in probability and in expectation for discrete least squares with noisy evaluations at random points

JOURNAL OF MULTIVARIATE ANALYSIS

卷:142

Article

Migliorati, Giovanni¹  Nobile, Fabio¹  Tempone, Raul^2,3 

[1] Ecole Polytech Fed Lausanne, MATHICSE CSQI, CH-1015 Lausanne, Switzerland

[2] KAUST, Appl Math & Computat Sci, Thuwal 239555900, Saudi Arabia

[3] KAUST, SRI Ctr Uncertainty Quantificat Computat Sci & En, Thuwal 239555900, Saudi Arabia

关键词: Approximation theory;    Discrete least squares;    Noisy evaluations;    Error analysis;    Convergence rates;    Large deviations;    Learning theory;    Multivariate polynomial approximation;   

DOI  :  10.1016/j.jmva.2015.08.009

来源: Elsevier

【 摘 要 】

We study the accuracy of the discrete least-squares approximation on a finite-dimensional space of a real-valued target function from noisy pointwise evaluations-at independent random points distributed according to a given sampling probability measure. The convergence estimates are given in mean-square sense with respect to the sampling measure. The noise may be correlated with the location of the evaluation and may have nonzero mean (offset). We consider both cases of bounded or square-integrable noise/offset. We prove conditions between the number of sampling points and the dimension of the underlying approximation space that ensure a stable and accurate approximation. Particular focus is on deriving estimates in probability within a given confidence level. We analyze how the best approximation error and the noise terms affect the convergence rate and the overall confidence level achieved by the convergence estimate. The proofs of our convergence estimates in probability use arguments from the theory of large deviations to bound the noise term. Finally we address the particular case of multivariate polynomial approximation spaces with any density in the beta family, including uniform and Chebyshev. (C) 2015 Elsevier Inc. All rights reserved.

【 授权许可】

Free