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A diagonal ridge fails the mixed fourth-derivative hypothesis
Example
On , take . The pure second partials are continuous, but even the pure fourth derivative required by the rate theorem fails to exist at every interior diagonal point with . Thus this ridge does not meet the mixed regularity hypothesis for the isotropic rate in Explicit work and error rate for dyadic Simpson Smolyak cubature.
Verification
Given: on and the mixed-derivative hypotheses in Explicit work and error rate for dyadic Simpson Smolyak cubature. Each coordinate partial is the ordinary derivative of the section obtained by fixing the other coordinate.
[F1] Mixed-derivative bounds for dyadic Simpson details: the mixed-regularity hypothesis includes and requires it to exist continuously on the whole square.
[F2] Explicit work and error rate for dyadic Simpson Smolyak cubature: its rate requires every to exist continuously and have a finite bound on the whole cube.
[F3] The derivative of at a point that is a limit point of , and differentiability on a set: a one-dimensional derivative is the limit of its difference quotient.
[F4] For a natural the function is differentiable everywhere with derivative ; for it is the constant , with derivative ; for a natural the function is differentiable at every with derivative ; consequently every polynomial function is differentiable at every real, with the derivative computed term by term: for , the derivative of is .
[F5] Sums, scalar multiples, products and quotients: , , , and when : scalar multiples of differentiable functions have the corresponding scalar-multiple derivative.
Fix an interior and write for sufficiently small positive and negative . By [F4]–[F5], on the two sides and for . The difference quotients at zero give and . The derivative of at zero would require , whose right-hand value is and left-hand value is . Thus does not exist, so cannot exist. By [F3], the required derivative therefore fails at the interior diagonal point .
Since [F1] requires to exist continuously everywhere, the failure in step 1.1 violates a stated hypothesis of the rate theorem [F2]. The theorem makes no such rate claim for this ridge.
For every fixed , the same formulas give , including its value zero on the diagonal; the same one-sided calculations apply at . By symmetry as well. These partials are continuous and bounded by on the square since , illustrating that lower-order smoothness does not imply the fourth-order condition used here.
Depends on
- Explicit work and error rate for dyadic Simpson Smolyak cubature
- Mixed-derivative bounds for dyadic Simpson details
- The derivative $f'(c) = \lim_{x \to c} \frac{f(x) - f(c)}{x - c}$ of $f : A \to \mathbb{R}$ at a point $c \in A$ that is a limit point of $A$, and differentiability on a set
- For a natural $n \ge 1$ the function $x \mapsto x^{n}$ is differentiable everywhere with derivative $\iota(n)\,x^{\,n-1}$; for $n = 0$ it is the constant $1$, with derivative $0$; for a natural $n \ge 1$ the function $x \mapsto x^{-n}$ is differentiable at every $x \ne 0$ with derivative $-\iota(n)\,x^{-n-1}$; consequently every polynomial function is differentiable at every real, with the derivative computed term by term
- Sums, scalar multiples, products and quotients: $(f+g)'(c) = f'(c) + g'(c)$, $(\alpha f)'(c) = \alpha f'(c)$, $(fg)'(c) = f'(c)g(c) + f(c)g'(c)$, and $(f/g)'(c) = \bigl(f'(c)g(c) - f(c)g'(c)\bigr)/g(c)^{2}$ when $g(c) \ne 0$
Used by
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Sources
- T. Gerstner and M. Griebel, Sparse Grids, Encyclopedia of Quantitative Finance, §Classical Sparse Grids (standard reference, not scraped)
- T. Gerstner and M. Griebel, Dimension-Adaptive Tensor-Product Quadrature, §2 (standard reference, not scraped)