2014/01/01 by Akil Narayan, John D. Jakeman · 6 citations
Computer Science · Decision Sciences · Mathematics · #Mathematical Approximation and Integration #Probabilistic and Robust Engineering Design #Stochastic Gradient Optimization Techniques
paper · doi:10.1137/140966368
openalex publication_date 2014/01/01 · openalex created_date 2016/06/24 · openalex updated_date 2026/07/28
We propose an adaptive sparse grid stochastic collocation approach based upon Leja interpolation sequences for approximation of parameterized functions with high-dimensional parameters. Leja sequences are arbitrarily granular (any number of nodes may be added to a current sequence, producing a new sequence) and thus are a good choice for the univariate composite rule used to construct adaptive sparse grids in high dimensions. When undertaking stochastic collocation one is often interested in constructing weighted approximation where the weights are determined by the probability densities of the random variables. This paper establishes that a certain weighted formulation of one-dimensional Leja sequences produces a sequence of nodes whose empirical distribution converges to the corresponding limiting distribution of the Gauss quadrature nodes associated with the weight function. This property is true even for unbounded domains. We apply the Leja sparse grid approach to several high-dimensional problems and demonstrate that Leja sequences are often superior to more standard sparse grid constructions (e.g., Clenshaw--Curtis), at least for interpolatory metrics.