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Absolute detail reconstruction and omitted-tail error bound
Statement
Let , let be continuous, and use a level hierarchy as in Nested one-dimensional quadrature levels and differences. Suppose its tensor rules satisfy and its detail family is absolutely summable in the sense of Absolute summability of a multi-index detail family. For every finite downward-closed containing , In particular, the dyadic composite-Simpson hierarchy satisfies the convergence hypothesis for continuous by Convergence of dyadic tensor composite-Simpson rules, and for the mixed-derivative class of Mixed-derivative bounds for dyadic Simpson details the same hierarchy also satisfies absolute summability.
Facts & Assumptions
Given: A dimension , continuous , a level hierarchy whose tensor rules converge on to , absolute summability of its detail family, and a finite downward-closed containing .
Smolyak cubature on a finite downward-closed index set: is the finite sum of the tensor details indexed by .
Absolute summability of a multi-index detail family: a nonnegative multi-index sum is the supremum of its finite subsums when these are bounded; the omitted tail uses the same definition on the complement of .
Rectangular telescoping of tensor details: the sum of details over is .
Triangle inequality for finite sums: the absolute value of each finite detail sum is at most the sum of its absolute terms.
Laws of finite sums and finite products: finite sums split over disjoint finite index sets.
Limits and Cauchy sequences of reals: convergence of a real sequence is tested using every positive rational tolerance.
The triangle inequality: for real .
Mixed-derivative bounds for dyadic Simpson details: under its continuous mixed fourth-derivative hypotheses, every finite absolute-detail subsum has the common finite bound .
The rationals embed densely in the reals: below every positive real lies a positive rational.
Proof
Choose large enough that . By [F1], [F3], and [F6], . The index set on the right is finite and is contained in .
By [F5] and [F2], the absolute value of the right side in step 1.1 is at most the omitted-detail tail for every sufficiently large . Put and ; the convergence hypothesis in Given says is eventually below every positive rational tolerance. If , [F10] supplies a positive rational with . For sufficiently large , both and hold by finiteness of and [F7]. The triangle inequality [F8] then gives , contradicting the preceding tail bound. Hence the displayed omitted-tail inequality holds.
For the dyadic composite-Simpson hierarchy, [F4] supplies the convergence hypothesis in Given. If the mixed-derivative hypotheses of [F9] hold, its common bound makes the finite subsums of bounded above. By the definition [F2], the full absolute-detail sum is therefore defined and finite, so step 2.1 applies and proves the stated particular error case.
Depends on
- Smolyak cubature on a finite downward-closed index set
- Absolute summability of a multi-index detail family
- Convergence of dyadic tensor composite-Simpson rules
- Mixed-derivative bounds for dyadic Simpson details
- Rectangular telescoping of tensor details
- Triangle inequality for finite sums
- Laws of finite sums and finite products
- The triangle inequality
- Limits and Cauchy sequences of reals
- The rationals embed densely in the reals
- Nested one-dimensional quadrature levels and differences
Used by
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Sources
- T. Gerstner and M. Griebel, Sparse Grids, Encyclopedia of Quantitative Finance, §Numerical integration (standard reference, not scraped)
- T. Gerstner and M. Griebel, Dimension-Adaptive Tensor-Product Quadrature, §2 (standard reference, not scraped)