Approximation complexity of homogeneous sums of random processes
classification
🧮 math.PR
keywords
varepsilonapproximationprocessesrandomsumsarbitraryaveragecomplexity
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We study approximation properties of additive random fields $Y_d$, $d\in\mathbb{N}$, which are sums of zero-mean random processes with the same continuous covariance functions. The average case approximation complexity $n^{Y_d}(\varepsilon)$ is defined as the minimal number of evaluations of arbitrary linear functionals needed to approximate $Y_d$, with relative $2$-average error not exceeding a given threshold $\varepsilon\in(0,1)$. We investigate the growth of $n^{Y_d}(\varepsilon)$ for arbitrary fixed $\varepsilon\in(0,1)$ and $d\to\infty$. The results are applied to sums of standard Wiener processes.
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