Explicit error bounds for randomized Smolyak algorithms and an application to infinite-dimensional integration

Abstract

Smolyak’s method, also known as sparse grid method, is a powerful tool to tackle multivariate tensor product problems solely with the help of efficient algorithms for the corresponding univariate problem.In this paper we study the randomized setting, i.e., we randomize Smolyak’s method. We provide upper and lower error bounds for randomized Smolyak algorithms with explicitly given dependence on the number of variables and the number of information evaluations used. The error criteria we consider are the worst case root mean square error (the typical error criterion for randomized algorithms, sometimes referred to as “randomized error”, ) and the root mean square worst case error (sometimes referred to as “worst-case error”).Randomized Smolyak algorithms can be used as building blocks for efficient methods such as multilevel algorithms, multivariate decomposition methods or dimension-wise quadrature methods to tackle successfully high-dimensional or even infinite-dimensional problems. As an example, we provide a very general and sharp result on the convergence rate of Nth minimal errors of infinite-dimensional integration on weighted reproducing kernel Hilbert spaces. Moreover, we are able to characterize the spaces for which randomized algorithms for infinite-dimensional integration are superior to deterministic ones. We illustrate our findings for the special instance of weighted Korobov spaces. We indicate how these results can be extended, e.g., to spaces of functions whose smooth dependence on successive variables increases (“spaces of increasing smoothness”) and to the problem of L2-approximation (function recovery).