Finite Rank Approximation of Tensor-Type and Additive Random Fields

Stochastics Seminar
Thursday, August 28, 2008 - 15:00
1 hour (actually 50 minutes)
Skiles 269
School of Mathematics, Georgia Tech
We consider a random field of tensor product type X and investigate the quality of approximation (both in the average and in the probabilistic sense) to X by the processes of rank n minimizing the quadratic approximation error. Most interesting results are obtained for the case when the dimension of parameter set tends to infinity. Call "cardinality" the minimal n providing a given level of approximation accuracy. By applying Central Limit Theorem to (deterministic) array of covariance eigenvalues, we show that, for any fixed level of relative error, this cardinality increases exponentially (a phenomenon often called "intractability" or "dimension curse") and find the explosion coefficient. We also show that the behavior of the probabilistic and average cardinalities is essentially the same in the large domain of parameters.