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Multilevel Weighted Least Squares Polynomial Approximation – Sören Wolfers, KAUST

Alan Turing Institute via YouTube

Overview

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This course focuses on the mathematical foundations of approximating high-dimensional functions from limited information, such as a small number of samples. The learning outcomes include understanding multilevel weighted least squares polynomial approximation, overcoming the curse of dimensionality, and applying modern approaches to function reconstruction. The course teaches skills such as polynomial least squares approximation, sampling from optimal density, and multilevel convergence analysis. The teaching method involves workshops featuring talks by eminent researchers in multivariate approximation theory and related areas. The intended audience for this course includes individuals interested in multivariate approximation, high-dimensional integration, and non-parametric regression.

Syllabus

Intro
Polynomial least squares approximation
Accuracy - Summary
Accuracy - References
Sampling from optimal density
Single level approach to inexact evaluations Ides Apply least squares approximation to freed to Problem: Good approximation requires both a large subspace
Multilevel approach to inexact evaluations
Multilevel convergence analysis
Numerical example Stationary diffusion equation with random coefficient field
Setup
Curse of dimensionality
Smolyak decomposition
Decay of mixed differences
Adaptive algorithm
Special case multilevel polynomial approximation

Taught by

Alan Turing Institute

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