提出一种新型采样策略,用最少样本实现高精度函数逼近。
Optimal sampling for least-squares approximation
- 基于基督弗尔函数设计近似最优的随机采样方法。
- 采样数量随逼近空间维数呈对数线性增长,效率显著提升。
- 适用于广泛场景,包括非线性空间与复杂函数恢复问题。
最小二乘逼近是从未知函数中恢复数据的核心方法之一。虽然在许多应用中数据固定,但在其他情况下可自由选择采样位置。本文综述了近期在任意线性空间中(加权)最小二乘逼近的近似最优随机采样策略进展。引入基督弗尔函数作为分析随机采样下(加权)最小二乘逼近的关键量,并据此构建名为基督弗尔采样的策略,其样本复杂度接近最优:样本数随逼近空间维数 $n$ 呈对数线性增长。讨论了一系列变体、扩展及相关主题,贯穿强调逼近论、机器学习、信息基复杂性与数值线性代数的联系。最后,受当代应用启发,推广经典设定——采样不必是标量函数的点值,逼近空间也不必为线性。我们证明,即使在此更一般情形下,基督弗尔函数的适当推广仍决定样本复杂度。因此,可在统一框架下设计增强型基督弗尔采样策略以应对各类恢复问题。本文基本自洽,面向非专业读者。
原文摘要 · Abstract (English)
Least-squares approximation is one of the most important methods for recovering an unknown function from data. While in many applications the data is fixed, in many others there is substantial freedom to choose where to sample. In this paper, we review recent progress on near-optimal random sampling strategies for (weighted) least-squares approximation in arbitrary linear spaces. We introduce the Christoffel function as a key quantity in the analysis of (weighted) least-squares approximation from random samples, then show how it can be used to construct a random sampling strategy, termed Christoffel sampling, that possesses near-optimal sample complexity: namely, the number of samples scales log-linearly in the dimension of the approximation space $n$. We discuss a series of variations, extensions and further topics, and throughout highlight connections to approximation theory, machine learning, information-based complexity and numerical linear algebra. Finally, motivated by various contemporary applications, we consider a generalization of the classical setting where the samples need not be pointwise samples of a scalar-valued function, and the approximation space need not be linear. We show that, even in this significantly more general setting, suitable generalizations of Christoffel function still determine the sample complexity. Consequently, these can be used to design enhanced, Christoffel sampling strategies in a unified way for general recovery problems. This article is largely self-contained, and intended to be accessible to nonspecialists.
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