Fast and accurate tensor approximation of a multivariate convolution with linear scaling in dimension

  • Authors:
  • Boris N. Khoromskij

  • Affiliations:
  • Max Planck Institute for Mathematics in the Sciences, Inselstr. 22-26, D-04103 Leipzig, Germany

  • Venue:
  • Journal of Computational and Applied Mathematics
  • Year:
  • 2010

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Abstract

In the present paper we present the tensor-product approximation of a multidimensional convolution transform discretized via a collocation-projection scheme on uniform or composite refined grids. Examples of convolving kernels are provided by the classical Newton, Slater (exponential) and Yukawa potentials, 1/@?x@?, e^-^@l^@?^x^@? and e^-^@l^@?^x^@?/@?x@? with x@?R^d. For piecewise constant elements on the uniform grid of size n^d, we prove quadratic convergence O(h^2) in the mesh parameter h=1/n, and then justify the Richardson extrapolation method on a sequence of grids that improves the order of approximation up to O(h^3). A fast algorithm of complexity O(dR"1R"2nlogn) is described for tensor-product convolution on uniform/composite grids of size n^d, where R"1,R"2 are tensor ranks of convolving functions. We also present the tensor-product convolution scheme in the two-level Tucker canonical format and discuss the consequent rank reduction strategy. Finally, we give numerical illustrations confirming: (a) the approximation theory for convolution schemes of order O(h^2) and O(h^3); (b) linear-logarithmic scaling of 1D discrete convolution on composite grids; (c) linear-logarithmic scaling in n of our tensor-product convolution method on an nxnxn grid in the range n@?16384.