Random sections of ellipsoids and the power of random information
Sprache des Titels:
Englisch
Original Kurzfassung:
We study the circumradius of the intersection of an $m$-dimensional ellipsoid $\mathcal E$ with semi-axes $\sigma _1\geq \dots \geq \sigma _m$ with random subspaces of codimension $n$, where $n$ can be much smaller than $m$. We find that, under certain assumptions on $\sigma$, this random radius $\mathcal {R}_n=\mathcal {R}_n(\sigma )$ is of the same order as the minimal such radius $\sigma _{n+1}$ with high probability. In other situations $\mathcal {R}_n$ is close to the maximum $\sigma _1$. The random variable $\mathcal {R}_n$ naturally corresponds to the worst-case error of the best algorithm based on random information for $L_2$-approximation of functions from a compactly embedded Hilbert space $H$ with unit ball $\mathcal E$. In particular, $\sigma _k$ is the $k$th largest singular value of the embedding $H\hookrightarrow L_2$. In this formulation, one can also consider the case $m=\infty$ and we prove that random information behaves very differently depending on whether $\sigma \in \ell _2$ or not. For $\sigma \notin \ell _2$ we get $\mathbb {E}[\mathcal {R}_n] = \sigma _1$ and random information is completely useless. For $\sigma \in \ell _2$ the expected radius tends to zero at least at rate $o(1/\sqrt {n})$ as $n\to \infty$. In the important case \[ \sigma _k \asymp k^{-\alpha } \ln ^{-\beta }(k+1), \] where $\alpha > 0$ and $\beta \in \mathbb {R}$ (which corresponds to various Sobolev embeddings), we prove \begin{equation*} \mathbb E [\mathcal {R}_n(\sigma )] \asymp \left \{\begin {array}{cl} \sigma _1 & \text {if} \quad \alpha <1/2 \text {\, or \,} \beta \leq \alpha =1/2, {2mm} \\ \sigma _{n+1} \, \sqrt {\ln (n+1)} \quad & \text {if} \quad \beta >\alpha =1/2, {2mm} \\ \sigma _{n+1} & \text {if} \quad \alpha >1/2. \end{array}\right . \end{equation*} In the proofs we use a comparison result for Gaussian processes à la Gordon, exponential estimates for sums of chi-squared random variables, and estimates for the extreme singular values of (structured) Gaussian random matrices. The upper bound is constructive. It is proven for the worst case error of a least squares estimator.
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