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arXiv · 1111.4422

On the stability and accuracy of least squares approximations

Albert Cohen·Mark A. Davenport·Dany Leviatan
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Abstract

We consider the problem of reconstructing an unknown function $f$ on a domain $X$ from samples of $f$ at $n$ randomly chosen points with respect to a given measure $\rho_X$. Given a sequence of linear spaces $(V_m)_{m>0}$ with ${\rm dim}(V_m)=m\leq n$, we study the least squares approximations from the spaces $V_m$. It is well known that such approximations can be inaccurate when $m$ is too close to $n$, even when the samples are noiseless. Our main result provides a criterion on $m$ that describes the needed amount of regularization to ensure that the least squares method is stable and that its accuracy, measured in $L^2(X,\rho_X)$, is comparable to the best approximation error of $f$ by elements from $V_m$. We illustrate this criterion for various approximation schemes, such as trigonometric polynomials, with $\rho_X$ being the uniform measure, and algebraic polynomials, with $\rho_X$ being either the uniform or Chebyshev measure. For such examples we also prove similar stability results using deterministic samples that are equispaced with respect to these measures.

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Albert Cohen, Mark A. Davenport, Dany Leviatan. 2011-11-18. On the stability and accuracy of least squares approximations. https://arxiv.org/abs/1111.4422

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