Approximation of Random Fields in High Dimension

author: Nora Serdyukova, Weierstrass Institute for Applied Analysis and Stochastics
published: Dec. 18, 2008,   recorded: December 2008,   views: 256

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Description

We consider the ε-approximation by n-term partial sums of the Karhunen- Lo`eve expansion to d-parametric random fields of tensor product-type in the average case setting. We investigate the behavior, as d → ∞, of the informa- tion complexity of approximation with error not exceeding a given level ε. It was recently shown that for this problem one observes the curse of dimen- sionality (intractability) phenomenon. We aim to give the exact asymptotic expression for the information complexity.

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