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arXiv · 1110.0058

A Lanczos Method for Approximating Composite Functions

Paul G. Constantine·Eric T. Phipps
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Abstract

We seek to approximate a composite function h(x) = g(f(x)) with a global polynomial. The standard approach chooses points x in the domain of f and computes h(x) at each point, which requires an evaluation of f and an evaluation of g. We present a Lanczos-based procedure that implicitly approximates g with a polynomial of f. By constructing a quadrature rule for the density function of f, we can approximate h(x) using many fewer evaluations of g. The savings is particularly dramatic when g is much more expensive than f or the dimension of x is large. We demonstrate this procedure with two numerical examples: (i) an exponential function composed with a rational function and (ii) a Navier-Stokes model of fluid flow with a scalar input parameter that depends on multiple physical quantities.

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Paul G. Constantine, Eric T. Phipps. 2011-10-01. A Lanczos Method for Approximating Composite Functions. https://doi.org/10.1016/j.amc.2012.05.009

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