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Computational Methods for the Fourier Analysis of Sparse High-Dimensional Functions

  • Jan 1, 2014
  • Lutz Kämmerer +4 more
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Abstract

Abstract A straightforward discretisation of high-dimensional problems often leads to a curse of dimensions and thus the use of sparsity has become a popular tool. Efficient algorithms like the fast Fourier transform (FFT) have to be customised to these thinner discretisations and we focus on two major topics regarding the Fourier analysis of high-dimensional functions: We present stable and effective algorithms for the fast evaluation and reconstruction of multivariate trigonometric polynomials with frequencies supported on an index set \(\mathcal{I}\subset \mathbb{Z}^{d}\).KeywordsFast Fourier TransformFourier CoefficientTrigonometric PolynomialSparse GridMatrix Vector MultiplicationThese keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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