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Meshfree Approximation with MATLAB Lecture II: RBF Interpolation and MLS Approximation Greg Fasshauer Department of Applied Mathematics Illinois Institute of Technology Dolomites Research Week on Approximation September 8–11, 2008 [email protected] Lecture II Dolomites 2008
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Page 1: Meshfree Approximation with Matlab - Lecture II: RBF ... · Derive matrix-free meshfree approximation method for scattered data approximation based on MLS and approximate approximation

Meshfree Approximation with MATLABLecture II: RBF Interpolation and MLS Approximation

Greg Fasshauer

Department of Applied MathematicsIllinois Institute of Technology

Dolomites Research Week on ApproximationSeptember 8–11, 2008

[email protected] Lecture II Dolomites 2008

Page 2: Meshfree Approximation with Matlab - Lecture II: RBF ... · Derive matrix-free meshfree approximation method for scattered data approximation based on MLS and approximate approximation

Outline

[email protected] Lecture II Dolomites 2008

1 Introduction

2 MLS Approximation

3 MLS Approximation in MATLAB

4 Linking RBF Interpolation and MLS Approximation

5 Generating Functions

6 Iterated AMLS Approximation

7 Iterated AMLS Approximation in MATLAB

Page 3: Meshfree Approximation with Matlab - Lecture II: RBF ... · Derive matrix-free meshfree approximation method for scattered data approximation based on MLS and approximate approximation

Introduction

Overview of MLS approximation

Derive matrix-free meshfree approximation method for scattereddata approximation based on MLS and approximateapproximation −→ approximate MLS

Link (A)MLS and RBF methods

[email protected] Lecture II Dolomites 2008

Page 4: Meshfree Approximation with Matlab - Lecture II: RBF ... · Derive matrix-free meshfree approximation method for scattered data approximation based on MLS and approximate approximation

Introduction Scattered Data Fitting

Multivariate Kernel Interpolation

Use data-dependent linear function space

Pf (x) =N∑

j=1

cjΦ(x ,x j), x ∈ Rs

Here Φ : Rs × Rs → R is strictly positive definite (reproducing) kernel

To find cj solve interpolation equations

Pf (x i) = f (x i), i = 1, . . . ,N

Leads to linear system with matrix

Aij = Φ(x i ,x j), i , j = 1, . . . ,N

[email protected] Lecture II Dolomites 2008

Page 5: Meshfree Approximation with Matlab - Lecture II: RBF ... · Derive matrix-free meshfree approximation method for scattered data approximation based on MLS and approximate approximation

Introduction Scattered Data Fitting

Multivariate Kernel Interpolation

Use data-dependent linear function space

Pf (x) =N∑

j=1

cjΦ(x ,x j), x ∈ Rs

Here Φ : Rs × Rs → R is strictly positive definite (reproducing) kernel

To find cj solve interpolation equations

Pf (x i) = f (x i), i = 1, . . . ,N

Leads to linear system with matrix

Aij = Φ(x i ,x j), i , j = 1, . . . ,N

[email protected] Lecture II Dolomites 2008

Page 6: Meshfree Approximation with Matlab - Lecture II: RBF ... · Derive matrix-free meshfree approximation method for scattered data approximation based on MLS and approximate approximation

Introduction Matrix-free Methods

Matrix-free Methods

Kernel interpolation leads to linear system Ac = f with matrix

Aij = Φ(x i ,x j), i , j = 1, . . . ,N

Goal: Avoid solution of linear systems

Use cardinal functions in span{Φ(·,x1), . . . ,Φ(·,xN)}

u∗(x i ,x j) = δij , i , j , . . . ,N

Then

Pf (x) =N∑

j=1

f (x j)u∗(x ,x j), x ∈ Rs

Problem: Cardinal functions difficult/expensive to find

[email protected] Lecture II Dolomites 2008

Page 7: Meshfree Approximation with Matlab - Lecture II: RBF ... · Derive matrix-free meshfree approximation method for scattered data approximation based on MLS and approximate approximation

Introduction Matrix-free Methods

Matrix-free Methods

Kernel interpolation leads to linear system Ac = f with matrix

Aij = Φ(x i ,x j), i , j = 1, . . . ,N

Goal: Avoid solution of linear systems

Use cardinal functions in span{Φ(·,x1), . . . ,Φ(·,xN)}

u∗(x i ,x j) = δij , i , j , . . . ,N

Then

Pf (x) =N∑

j=1

f (x j)u∗(x ,x j), x ∈ Rs

Problem: Cardinal functions difficult/expensive to find

[email protected] Lecture II Dolomites 2008

Page 8: Meshfree Approximation with Matlab - Lecture II: RBF ... · Derive matrix-free meshfree approximation method for scattered data approximation based on MLS and approximate approximation

Introduction Matrix-free Methods

Matrix-free Methods

Kernel interpolation leads to linear system Ac = f with matrix

Aij = Φ(x i ,x j), i , j = 1, . . . ,N

Goal: Avoid solution of linear systems

Use cardinal functions in span{Φ(·,x1), . . . ,Φ(·,xN)}

u∗(x i ,x j) = δij , i , j , . . . ,N

Then

Pf (x) =N∑

j=1

f (x j)u∗(x ,x j), x ∈ Rs

Problem: Cardinal functions difficult/expensive to find

[email protected] Lecture II Dolomites 2008

Page 9: Meshfree Approximation with Matlab - Lecture II: RBF ... · Derive matrix-free meshfree approximation method for scattered data approximation based on MLS and approximate approximation

Introduction Matrix-free Methods

Cardinal Functions

Figure: Cardinal functions centered at an interior point: Gaussianinterpolation with ε = 5, 81 uniformly spaced points (left), multiquadric withε = 5, 81 Halton points (right).

[email protected] Lecture II Dolomites 2008

Page 10: Meshfree Approximation with Matlab - Lecture II: RBF ... · Derive matrix-free meshfree approximation method for scattered data approximation based on MLS and approximate approximation

MLS Approximation

MLS (Backus-Gilbert Formulation)

Assume

Pf (x) =N∑

i=1

f (x i)Ψ(x ,x i)

with generating functions Ψ(·,x i)

Find Ψ(x ,x i) pointwise by solving a linearly constrained quadraticoptimization problem.

First discussed in [Bos & Šalkauskas (1989)]Contributions by [Allasia & Giolito (1997), Farwig (1986),Farwig (1987), Farwig (1991), Levin (1998), Wendland (2001)] andmany others

[email protected] Lecture II Dolomites 2008

Page 11: Meshfree Approximation with Matlab - Lecture II: RBF ... · Derive matrix-free meshfree approximation method for scattered data approximation based on MLS and approximate approximation

MLS Approximation

MLS (Backus-Gilbert Formulation)

Assume

Pf (x) =N∑

i=1

f (x i)Ψ(x ,x i)

with generating functions Ψ(·,x i)

Find Ψ(x ,x i) pointwise by solving a linearly constrained quadraticoptimization problem.

First discussed in [Bos & Šalkauskas (1989)]Contributions by [Allasia & Giolito (1997), Farwig (1986),Farwig (1987), Farwig (1991), Levin (1998), Wendland (2001)] andmany others

[email protected] Lecture II Dolomites 2008

Page 12: Meshfree Approximation with Matlab - Lecture II: RBF ... · Derive matrix-free meshfree approximation method for scattered data approximation based on MLS and approximate approximation

MLS Approximation

MLS (Backus-Gilbert Formulation)

Assume

Pf (x) =N∑

i=1

f (x i)Ψ(x ,x i)

with generating functions Ψ(·,x i)

Find Ψ(x ,x i) pointwise by solving a linearly constrained quadraticoptimization problem.

First discussed in [Bos & Šalkauskas (1989)]

Contributions by [Allasia & Giolito (1997), Farwig (1986),Farwig (1987), Farwig (1991), Levin (1998), Wendland (2001)] andmany others

[email protected] Lecture II Dolomites 2008

Page 13: Meshfree Approximation with Matlab - Lecture II: RBF ... · Derive matrix-free meshfree approximation method for scattered data approximation based on MLS and approximate approximation

MLS Approximation

MLS (Backus-Gilbert Formulation)

Assume

Pf (x) =N∑

i=1

f (x i)Ψ(x ,x i)

with generating functions Ψ(·,x i)

Find Ψ(x ,x i) pointwise by solving a linearly constrained quadraticoptimization problem.

First discussed in [Bos & Šalkauskas (1989)]Contributions by [Allasia & Giolito (1997), Farwig (1986),Farwig (1987), Farwig (1991), Levin (1998), Wendland (2001)] andmany others

[email protected] Lecture II Dolomites 2008

Page 14: Meshfree Approximation with Matlab - Lecture II: RBF ... · Derive matrix-free meshfree approximation method for scattered data approximation based on MLS and approximate approximation

MLS Approximation

Pick positive weight functions w(·,x i) and minimize

12

N∑i=1

Ψ2(x ,x i)1

w(x ,x i)⇐⇒ 1

2ΨT (x)Q(x)Ψ(x),

for fixed evaluation point x , where

Q(x) = diag(

1w(x ,x1)

, . . . ,1

w(x ,xN)

), (1)

and Ψ = [Ψ(·,x1), . . . ,Ψ(·,xN)]T

subject to polynomial reproduction (discrete moment conditions)

N∑i=1

p(x i−x)Ψ(x ,x i) = p(0), for all p ∈ Πsd ⇐⇒ A(x)Ψ(x) = p(0)

where Aji(x) = pj(x i − x), j = 1, . . . ,m =(d+s

d

), i = 1, . . . ,N

[email protected] Lecture II Dolomites 2008

Page 15: Meshfree Approximation with Matlab - Lecture II: RBF ... · Derive matrix-free meshfree approximation method for scattered data approximation based on MLS and approximate approximation

MLS Approximation

Pick positive weight functions w(·,x i) and minimize

12

N∑i=1

Ψ2(x ,x i)1

w(x ,x i)⇐⇒ 1

2ΨT (x)Q(x)Ψ(x),

for fixed evaluation point x , where

Q(x) = diag(

1w(x ,x1)

, . . . ,1

w(x ,xN)

), (1)

and Ψ = [Ψ(·,x1), . . . ,Ψ(·,xN)]T

subject to polynomial reproduction (discrete moment conditions)

N∑i=1

p(x i−x)Ψ(x ,x i) = p(0), for all p ∈ Πsd ⇐⇒ A(x)Ψ(x) = p(0)

where Aji(x) = pj(x i − x), j = 1, . . . ,m =(d+s

d

), i = 1, . . . ,N

[email protected] Lecture II Dolomites 2008

Page 16: Meshfree Approximation with Matlab - Lecture II: RBF ... · Derive matrix-free meshfree approximation method for scattered data approximation based on MLS and approximate approximation

MLS Approximation Lagrange Multipliers

Using Lagrange multipliers λ(x) = [λ1(x), . . . , λm(x)]T we minimize

12ΨT (x)Q(x)Ψ(x)− λT (x) [A(x)Ψ(x)− p(0)]

This leads to the system[Q(x) −AT (x)A(x) O

] [Ψ(x)λ(x)

]=

[0

p(0)

]with solution

λ(x) =(

A(x)Q−1(x)AT (x))−1

p(0)

Ψ(x) = Q−1(x)AT (x)λ(x)

[email protected] Lecture II Dolomites 2008

Page 17: Meshfree Approximation with Matlab - Lecture II: RBF ... · Derive matrix-free meshfree approximation method for scattered data approximation based on MLS and approximate approximation

MLS Approximation Lagrange Multipliers

Using Lagrange multipliers λ(x) = [λ1(x), . . . , λm(x)]T we minimize

12ΨT (x)Q(x)Ψ(x)− λT (x) [A(x)Ψ(x)− p(0)]

This leads to the system[Q(x) −AT (x)A(x) O

] [Ψ(x)λ(x)

]=

[0

p(0)

]

with solution

λ(x) =(

A(x)Q−1(x)AT (x))−1

p(0)

Ψ(x) = Q−1(x)AT (x)λ(x)

[email protected] Lecture II Dolomites 2008

Page 18: Meshfree Approximation with Matlab - Lecture II: RBF ... · Derive matrix-free meshfree approximation method for scattered data approximation based on MLS and approximate approximation

MLS Approximation Lagrange Multipliers

Using Lagrange multipliers λ(x) = [λ1(x), . . . , λm(x)]T we minimize

12ΨT (x)Q(x)Ψ(x)− λT (x) [A(x)Ψ(x)− p(0)]

This leads to the system[Q(x) −AT (x)A(x) O

] [Ψ(x)λ(x)

]=

[0

p(0)

]with solution

λ(x) =(

A(x)Q−1(x)AT (x))−1

p(0)

Ψ(x) = Q−1(x)AT (x)λ(x)

[email protected] Lecture II Dolomites 2008

Page 19: Meshfree Approximation with Matlab - Lecture II: RBF ... · Derive matrix-free meshfree approximation method for scattered data approximation based on MLS and approximate approximation

MLS Approximation Gram Matrix

If we use a Gram system, the λk (x) are the solution of

G(x)λ(x) = p(0)

with Gram matrix

Gj,k (x) =N∑

i=1

pj(x i − x)pk (x i − x)w(x ,x i)

and p = [p1, . . . ,pm]T , m =(d+s

d

)

(Small) linear system for each x

Following either approach we have componentwise

Ψ(x ,x i) = w(x ,x i)m∑

j=1

λj(x)pj(x i − x), i = 1, . . . ,N

[email protected] Lecture II Dolomites 2008

Page 20: Meshfree Approximation with Matlab - Lecture II: RBF ... · Derive matrix-free meshfree approximation method for scattered data approximation based on MLS and approximate approximation

MLS Approximation Gram Matrix

If we use a Gram system, the λk (x) are the solution of

G(x)λ(x) = p(0)

with Gram matrix

Gj,k (x) =N∑

i=1

pj(x i − x)pk (x i − x)w(x ,x i)

and p = [p1, . . . ,pm]T , m =(d+s

d

)(Small) linear system for each x

Following either approach we have componentwise

Ψ(x ,x i) = w(x ,x i)m∑

j=1

λj(x)pj(x i − x), i = 1, . . . ,N

[email protected] Lecture II Dolomites 2008

Page 21: Meshfree Approximation with Matlab - Lecture II: RBF ... · Derive matrix-free meshfree approximation method for scattered data approximation based on MLS and approximate approximation

MLS Approximation Gram Matrix

If we use a Gram system, the λk (x) are the solution of

G(x)λ(x) = p(0)

with Gram matrix

Gj,k (x) =N∑

i=1

pj(x i − x)pk (x i − x)w(x ,x i)

and p = [p1, . . . ,pm]T , m =(d+s

d

)(Small) linear system for each x

Following either approach we have componentwise

Ψ(x ,x i) = w(x ,x i)m∑

j=1

λj(x)pj(x i − x), i = 1, . . . ,N

[email protected] Lecture II Dolomites 2008

Page 22: Meshfree Approximation with Matlab - Lecture II: RBF ... · Derive matrix-free meshfree approximation method for scattered data approximation based on MLS and approximate approximation

MLS Approximation Shepard’s Method

Shepard’s Method

Example (d = 0)For any positive weight w

Pf (x) =N∑

j=1

f (x j)w(x ,x j)∑N

k=1 w(x ,xk )︸ ︷︷ ︸=:Ψ(x ,x j )

partition of unity

Has approximation order O(h) if w(·,x j) has support size ρj ∝ h

Does not interpolate — only approximates data

Also known as kernel method or local polynomial regression

[email protected] Lecture II Dolomites 2008

Page 23: Meshfree Approximation with Matlab - Lecture II: RBF ... · Derive matrix-free meshfree approximation method for scattered data approximation based on MLS and approximate approximation

MLS Approximation Shepard’s Method

Shepard’s Method

Example (d = 0)For any positive weight w

Pf (x) =N∑

j=1

f (x j)w(x ,x j)∑N

k=1 w(x ,xk )︸ ︷︷ ︸=:Ψ(x ,x j )

partition of unity

Has approximation order O(h) if w(·,x j) has support size ρj ∝ h

Does not interpolate — only approximates data

Also known as kernel method or local polynomial regression

[email protected] Lecture II Dolomites 2008

Page 24: Meshfree Approximation with Matlab - Lecture II: RBF ... · Derive matrix-free meshfree approximation method for scattered data approximation based on MLS and approximate approximation

MLS Approximation in MATLAB Example

ExampleTest function

fs(x) = 4ss∏

d=1

xd (1− xd ), x = (x1, . . . , xs) ∈ [0,1]s

Use compactly supported weights

w(x i ,x) = (1− ε‖x − x i‖)4+ (4ε‖x − x i‖+ 1)

so that evaluation matrix is sparseStationary approximation scheme: ε = N1/s

[email protected] Lecture II Dolomites 2008

Page 25: Meshfree Approximation with Matlab - Lecture II: RBF ... · Derive matrix-free meshfree approximation method for scattered data approximation based on MLS and approximate approximation

MLS Approximation in MATLAB Shepard’s Method

Program (ShepardCS_sD.m)

1 s = 2; N = 289; M = 500;2 global rbf; rbf_definition; ep = nthroot(N,s);3 [dsites, N] = CreatePoints(N,s,’h’);4 ctrs = dsites;5 epoints = CreatePoints(M,s,’r’);6 f = testfunctionsD(dsites);7 DM_eval = DistanceMatrixCSRBF(epoints,ctrs,ep);8 EM = rbf(ep,DM_eval);9 EM = spdiags(1./(EM*ones(N,1)),0,M,M)*EM;

10 Pf = EM*f;11 exact = testfunctionsD(epoints);12 maxerr = norm(Pf-exact,inf)13 rms_err = norm(Pf-exact)/sqrt(M)

RemarkDistanceMatrixCSRBF returns a sparse matrix

=⇒ rbf defined differently

[email protected] Lecture II Dolomites 2008

Page 26: Meshfree Approximation with Matlab - Lecture II: RBF ... · Derive matrix-free meshfree approximation method for scattered data approximation based on MLS and approximate approximation

MLS Approximation in MATLAB Compactly Supported Functions

Compactly supported RBFs/weights

To get a sparse matrix from DistanceMatrixRBF we expresscompactly supported functions in a shifted form ϕ = ϕ(1− ·) so thatϕ(1− εr) = ϕ(εr)

k ϕ3,k (r) ϕ3,k (r) smoothness

0 (1− r)2+ r2

+ C0

1 (1− r)4+ (4r + 1) r4

+ (5− 4r) C2

2 (1− r)6+

(35r2 + 18r + 3

)r6+

(56− 88r + 35r2

)C4

Table: Wendland functions ϕs,k and ϕs,k = ϕs,k (1− ·)

[email protected] Lecture II Dolomites 2008

Page 27: Meshfree Approximation with Matlab - Lecture II: RBF ... · Derive matrix-free meshfree approximation method for scattered data approximation based on MLS and approximate approximation

MLS Approximation in MATLAB Compactly Supported Functions

C2 Wendland function ϕ3,1 in MATLAB

Instead of (full matrix version)

rbf = @(e,r) max(1-e*r,0).^4.*(4*e*r+1);

we now write

rbf = @(e,r) r.^4.*(5*spones(r)-4*r);

RemarkWe use spones since 5-4*r would have generated a full matrix(with many additional — and unwanted — ones).

[email protected] Lecture II Dolomites 2008

Page 28: Meshfree Approximation with Matlab - Lecture II: RBF ... · Derive matrix-free meshfree approximation method for scattered data approximation based on MLS and approximate approximation

MLS Approximation in MATLAB Distance Matrices for CSRBFs

Program (DistanceMatrixCSRBF.m)1 function DM = DistanceMatrixCSRBF(dsites,ctrs,ep)2 N = size(dsites,1); M = size(ctrs,1);

% Build k-D tree for data sites% For each ctr/dsite, find the dsites/ctrs% in its support along with u-distance u=1-ep*r

3 supp = 1/ep; nzmax = 25*N; DM = spalloc(N,M,nzmax);4 if M > N % faster if more centers than data sites5 [tmp,tmp,T] = kdtree(ctrs,[]);6 for i = 1:N7 [pts,dist,idx]=kdrangequery(T,dsites(i,:),supp);8 DM(i,idx) = 1-ep*dist;9 end

10 else11 [tmp,tmp,T] = kdtree(dsites,[]);12 for j = 1:M13 [pts,dist,idx]=kdrangequery(T,ctrs(j,:),supp);14 DM(idx,j) = 1-ep*dist;15 end16 end17 kdtree([],[],T);

Uses kdtree and kdrangequery from the kd-tree library (MATLAB

MEX-files written by Guy Shechter, see [MCFE]).

[email protected] Lecture II Dolomites 2008

Page 29: Meshfree Approximation with Matlab - Lecture II: RBF ... · Derive matrix-free meshfree approximation method for scattered data approximation based on MLS and approximate approximation

MLS Approximation in MATLAB Stationary Approximation (ε = N1/s )

[email protected] Lecture II Dolomites 2008

Page 30: Meshfree Approximation with Matlab - Lecture II: RBF ... · Derive matrix-free meshfree approximation method for scattered data approximation based on MLS and approximate approximation

MLS Approximation in MATLAB Stationary Approximation (ε = N1/s )

[email protected] Lecture II Dolomites 2008

Page 31: Meshfree Approximation with Matlab - Lecture II: RBF ... · Derive matrix-free meshfree approximation method for scattered data approximation based on MLS and approximate approximation

MLS Approximation in MATLAB Convergence across different dimensions

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Page 32: Meshfree Approximation with Matlab - Lecture II: RBF ... · Derive matrix-free meshfree approximation method for scattered data approximation based on MLS and approximate approximation

Linking RBF Interpolation and MLS Approximation RBF – AMLS Summary

RBF Interpolation via MLS Approximation [Zhang (2007)]

[email protected] Lecture II Dolomites 2008

Page 33: Meshfree Approximation with Matlab - Lecture II: RBF ... · Derive matrix-free meshfree approximation method for scattered data approximation based on MLS and approximate approximation

Linking RBF Interpolation and MLS Approximation Approximate Approximation

In MLS approximation the generating functions satisfy discretemoment conditions

N∑i=1

p(x i − x)Ψ(x ,x i) = p(0), for all p ∈ Πsd

Now we impose continuous moment conditions. If ϕ is radial we want∫Rs‖x‖2kϕ(‖x‖)dx = δk ,0 for 0 ≤ k ≤ d

RemarkThe concept of approximate approximations was first suggestedby Maz’ya in the early 1990s.See the recent book [Maz’ya and Schmidt (2007)].

[email protected] Lecture II Dolomites 2008

Page 34: Meshfree Approximation with Matlab - Lecture II: RBF ... · Derive matrix-free meshfree approximation method for scattered data approximation based on MLS and approximate approximation

Linking RBF Interpolation and MLS Approximation Approximate Approximation

In MLS approximation the generating functions satisfy discretemoment conditions

N∑i=1

p(x i − x)Ψ(x ,x i) = p(0), for all p ∈ Πsd

Now we impose continuous moment conditions. If ϕ is radial we want∫Rs‖x‖2kϕ(‖x‖)dx = δk ,0 for 0 ≤ k ≤ d

RemarkThe concept of approximate approximations was first suggestedby Maz’ya in the early 1990s.See the recent book [Maz’ya and Schmidt (2007)].

[email protected] Lecture II Dolomites 2008

Page 35: Meshfree Approximation with Matlab - Lecture II: RBF ... · Derive matrix-free meshfree approximation method for scattered data approximation based on MLS and approximate approximation

Linking RBF Interpolation and MLS Approximation Approximate Approximation

In MLS approximation the generating functions satisfy discretemoment conditions

N∑i=1

p(x i − x)Ψ(x ,x i) = p(0), for all p ∈ Πsd

Now we impose continuous moment conditions. If ϕ is radial we want∫Rs‖x‖2kϕ(‖x‖)dx = δk ,0 for 0 ≤ k ≤ d

RemarkThe concept of approximate approximations was first suggestedby Maz’ya in the early 1990s.See the recent book [Maz’ya and Schmidt (2007)].

[email protected] Lecture II Dolomites 2008

Page 36: Meshfree Approximation with Matlab - Lecture II: RBF ... · Derive matrix-free meshfree approximation method for scattered data approximation based on MLS and approximate approximation

Linking RBF Interpolation and MLS Approximation Approximate Approximation

If ϕ satisfies the continuous moment conditions, then approximateapproximation guarantees that

Qf (x) =1Ds/2

N∑j=1

f (x j)ϕ

(∥∥∥∥x − x j√Dh

∥∥∥∥)

approximates the data with

‖f −Qf‖∞ = O(h2d+2) + ε(ϕ,D)

provided x j ∈ Rs are uniformly spaced and D ≥ 1

Remarkε(ϕ,D) is called saturation errorIt depends only on ϕ and the initial scale factor DBy choosing an appropriate D, the saturation error may be pusheddown to the level of roundoff error.

[email protected] Lecture II Dolomites 2008

Page 37: Meshfree Approximation with Matlab - Lecture II: RBF ... · Derive matrix-free meshfree approximation method for scattered data approximation based on MLS and approximate approximation

Linking RBF Interpolation and MLS Approximation Approximate Approximation

If ϕ satisfies the continuous moment conditions, then approximateapproximation guarantees that

Qf (x) =1Ds/2

N∑j=1

f (x j)ϕ

(∥∥∥∥x − x j√Dh

∥∥∥∥)

approximates the data with

‖f −Qf‖∞ = O(h2d+2) + ε(ϕ,D)

provided x j ∈ Rs are uniformly spaced and D ≥ 1

Remarkε(ϕ,D) is called saturation errorIt depends only on ϕ and the initial scale factor D

By choosing an appropriate D, the saturation error may be pusheddown to the level of roundoff error.

[email protected] Lecture II Dolomites 2008

Page 38: Meshfree Approximation with Matlab - Lecture II: RBF ... · Derive matrix-free meshfree approximation method for scattered data approximation based on MLS and approximate approximation

Linking RBF Interpolation and MLS Approximation Approximate Approximation

If ϕ satisfies the continuous moment conditions, then approximateapproximation guarantees that

Qf (x) =1Ds/2

N∑j=1

f (x j)ϕ

(∥∥∥∥x − x j√Dh

∥∥∥∥)

approximates the data with

‖f −Qf‖∞ = O(h2d+2) + ε(ϕ,D)

provided x j ∈ Rs are uniformly spaced and D ≥ 1

Remarkε(ϕ,D) is called saturation errorIt depends only on ϕ and the initial scale factor DBy choosing an appropriate D, the saturation error may be pusheddown to the level of roundoff error.

[email protected] Lecture II Dolomites 2008

Page 39: Meshfree Approximation with Matlab - Lecture II: RBF ... · Derive matrix-free meshfree approximation method for scattered data approximation based on MLS and approximate approximation

Linking RBF Interpolation and MLS Approximation Approximate Approximation

Saturated Gaussian Interpolation

Interpolate with

ϕ(r) = e−r2

Dh2

[email protected] Lecture II Dolomites 2008

Page 40: Meshfree Approximation with Matlab - Lecture II: RBF ... · Derive matrix-free meshfree approximation method for scattered data approximation based on MLS and approximate approximation

Linking RBF Interpolation and MLS Approximation Approximate Approximation

Summary so far

Data: {x j , fj}, j = 1, . . . ,NRBF interpolation Approximate MLS approximationPf (x) =

∑cjΦ(x ,x j) Qf (x) =

∑fjΦ(x ,x j)

Pf (x i) = fi (interpolation) Q(x i) ≈ fi (approximation)cj unknown Φ(x ,x j) unknown

Φ strictly positive definite Φ meets continuous moment conditionssolve (large) linear system no linear system to solve

RemarkWe want to find basic (generating) functions that are both positivedefinite and satisfy moment conditions.

[email protected] Lecture II Dolomites 2008

Page 41: Meshfree Approximation with Matlab - Lecture II: RBF ... · Derive matrix-free meshfree approximation method for scattered data approximation based on MLS and approximate approximation

Linking RBF Interpolation and MLS Approximation Approximate Approximation

Summary so far

Data: {x j , fj}, j = 1, . . . ,NRBF interpolation Approximate MLS approximationPf (x) =

∑cjΦ(x ,x j) Qf (x) =

∑fjΦ(x ,x j)

Pf (x i) = fi (interpolation) Q(x i) ≈ fi (approximation)cj unknown Φ(x ,x j) unknown

Φ strictly positive definite Φ meets continuous moment conditionssolve (large) linear system no linear system to solve

RemarkWe want to find basic (generating) functions that are both positivedefinite and satisfy moment conditions.

[email protected] Lecture II Dolomites 2008

Page 42: Meshfree Approximation with Matlab - Lecture II: RBF ... · Derive matrix-free meshfree approximation method for scattered data approximation based on MLS and approximate approximation

Linking RBF Interpolation and MLS Approximation Finding Good Generating Functions

Some not uncommon misconceptionsEveryone knows: interpolation matrix is non-singular if Φ is strictlypositive definite

The literature tells us

Theorem

ϕ(‖ · ‖2) is strictly positive definite and radial on Rs for all s

⇐⇒

ϕ is completely monotone and not constant.

Definitionϕ is completely monotone if

(−1)`ϕ(`)(r) ≥ 0, r > 0, ` = 0,1,2, . . .

Consequence of this definition: ϕ is non-negative

[email protected] Lecture II Dolomites 2008

Page 43: Meshfree Approximation with Matlab - Lecture II: RBF ... · Derive matrix-free meshfree approximation method for scattered data approximation based on MLS and approximate approximation

Linking RBF Interpolation and MLS Approximation Finding Good Generating Functions

Some not uncommon misconceptionsEveryone knows: interpolation matrix is non-singular if Φ is strictlypositive definiteThe literature tells us

Theorem

ϕ(‖ · ‖2) is strictly positive definite and radial on Rs for all s

⇐⇒

ϕ is completely monotone and not constant.

Definitionϕ is completely monotone if

(−1)`ϕ(`)(r) ≥ 0, r > 0, ` = 0,1,2, . . .

Consequence of this definition: ϕ is non-negative

[email protected] Lecture II Dolomites 2008

Page 44: Meshfree Approximation with Matlab - Lecture II: RBF ... · Derive matrix-free meshfree approximation method for scattered data approximation based on MLS and approximate approximation

Linking RBF Interpolation and MLS Approximation Finding Good Generating Functions

Some not uncommon misconceptionsEveryone knows: interpolation matrix is non-singular if Φ is strictlypositive definiteThe literature tells us

Theorem

ϕ(‖ · ‖2) is strictly positive definite and radial on Rs for all s

⇐⇒

ϕ is completely monotone and not constant.

Definitionϕ is completely monotone if

(−1)`ϕ(`)(r) ≥ 0, r > 0, ` = 0,1,2, . . .

Consequence of this definition: ϕ is non-negative

[email protected] Lecture II Dolomites 2008

Page 45: Meshfree Approximation with Matlab - Lecture II: RBF ... · Derive matrix-free meshfree approximation method for scattered data approximation based on MLS and approximate approximation

Linking RBF Interpolation and MLS Approximation Finding Good Generating Functions

Some not uncommon misconceptionsEveryone knows: interpolation matrix is non-singular if Φ is strictlypositive definiteThe literature tells us

Theorem

ϕ(‖ · ‖2) is strictly positive definite and radial on Rs for all s

⇐⇒

ϕ is completely monotone and not constant.

Definitionϕ is completely monotone if

(−1)`ϕ(`)(r) ≥ 0, r > 0, ` = 0,1,2, . . .

Consequence of this definition: ϕ is non-negative

[email protected] Lecture II Dolomites 2008

Page 46: Meshfree Approximation with Matlab - Lecture II: RBF ... · Derive matrix-free meshfree approximation method for scattered data approximation based on MLS and approximate approximation

Linking RBF Interpolation and MLS Approximation Finding Good Generating Functions

All we really need is

Theorem

ϕ(‖ · ‖2) is strictly positive definite and radial on Rs for some s

⇐⇒

its (radial) Fourier transform is non-negative and not identically equalto zero.

ExampleThose well-known non-negative functions (such as Gaussians,inverse MQs)Compactly supported RBFs of Wendland, Wu and BuhmannBut also

oscillatory RBFs of [Fornberg et al. (2004)] (Poisson, Schoenberg)Laguerre-Gaussians and generalized IMQs (below)

[email protected] Lecture II Dolomites 2008

Page 47: Meshfree Approximation with Matlab - Lecture II: RBF ... · Derive matrix-free meshfree approximation method for scattered data approximation based on MLS and approximate approximation

Linking RBF Interpolation and MLS Approximation Finding Good Generating Functions

All we really need is

Theorem

ϕ(‖ · ‖2) is strictly positive definite and radial on Rs for some s

⇐⇒

its (radial) Fourier transform is non-negative and not identically equalto zero.

ExampleThose well-known non-negative functions (such as Gaussians,inverse MQs)Compactly supported RBFs of Wendland, Wu and Buhmann

But alsooscillatory RBFs of [Fornberg et al. (2004)] (Poisson, Schoenberg)Laguerre-Gaussians and generalized IMQs (below)

[email protected] Lecture II Dolomites 2008

Page 48: Meshfree Approximation with Matlab - Lecture II: RBF ... · Derive matrix-free meshfree approximation method for scattered data approximation based on MLS and approximate approximation

Linking RBF Interpolation and MLS Approximation Finding Good Generating Functions

All we really need is

Theorem

ϕ(‖ · ‖2) is strictly positive definite and radial on Rs for some s

⇐⇒

its (radial) Fourier transform is non-negative and not identically equalto zero.

ExampleThose well-known non-negative functions (such as Gaussians,inverse MQs)Compactly supported RBFs of Wendland, Wu and BuhmannBut also

oscillatory RBFs of [Fornberg et al. (2004)] (Poisson, Schoenberg)Laguerre-Gaussians and generalized IMQs (below)

[email protected] Lecture II Dolomites 2008

Page 49: Meshfree Approximation with Matlab - Lecture II: RBF ... · Derive matrix-free meshfree approximation method for scattered data approximation based on MLS and approximate approximation

Generating Functions Laguerre-Gaussians

Definition (Laguerre-Gaussians)

φ(t) =1√πs

e−tLs/2d (t)

Theorem ([Zhang (2007)])

Φ(x) = φ(‖x‖2

)is SPD and satisfies

∫Rs xαΦ(x)dx = δα,0,

0 ≤ |α| ≤ 2d + 1.

Examples: Φ(x) = e−‖x‖2× table entry

s�d 0 1 2

11√π

1√π

(32− ‖x‖2

)1√π

(158− 5

2‖x‖2 +

12‖x‖4

)2

(2− ‖x‖2

) 1π

(3− 3‖x‖2 +

12‖x‖4

)3

1π3/2

1π3/2

(52− ‖x‖2

)1

π3/2

(358− 7

2‖x‖2 +

12‖x‖4

)

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Page 50: Meshfree Approximation with Matlab - Lecture II: RBF ... · Derive matrix-free meshfree approximation method for scattered data approximation based on MLS and approximate approximation

Generating Functions Laguerre-Gaussians

Definition (Laguerre-Gaussians)

φ(t) =1√πs

e−tLs/2d (t)

Theorem ([Zhang (2007)])

Φ(x) = φ(‖x‖2

)is SPD and satisfies

∫Rs xαΦ(x)dx = δα,0,

0 ≤ |α| ≤ 2d + 1.

Examples: Φ(x) = e−‖x‖2× table entry

s�d 0 1 2

11√π

1√π

(32− ‖x‖2

)1√π

(158− 5

2‖x‖2 +

12‖x‖4

)2

(2− ‖x‖2

) 1π

(3− 3‖x‖2 +

12‖x‖4

)3

1π3/2

1π3/2

(52− ‖x‖2

)1

π3/2

(358− 7

2‖x‖2 +

12‖x‖4

)

[email protected] Lecture II Dolomites 2008

Page 51: Meshfree Approximation with Matlab - Lecture II: RBF ... · Derive matrix-free meshfree approximation method for scattered data approximation based on MLS and approximate approximation

Generating Functions Laguerre-Gaussians

Definition (Laguerre-Gaussians)

φ(t) =1√πs

e−tLs/2d (t)

Theorem ([Zhang (2007)])

Φ(x) = φ(‖x‖2

)is SPD and satisfies

∫Rs xαΦ(x)dx = δα,0,

0 ≤ |α| ≤ 2d + 1.

Examples: Φ(x) = e−‖x‖2× table entry

s�d 0 1 2

11√π

1√π

(32− ‖x‖2

)1√π

(158− 5

2‖x‖2 +

12‖x‖4

)2

(2− ‖x‖2

) 1π

(3− 3‖x‖2 +

12‖x‖4

)3

1π3/2

1π3/2

(52− ‖x‖2

)1

π3/2

(358− 7

2‖x‖2 +

12‖x‖4

)

[email protected] Lecture II Dolomites 2008

Page 52: Meshfree Approximation with Matlab - Lecture II: RBF ... · Derive matrix-free meshfree approximation method for scattered data approximation based on MLS and approximate approximation

Generating Functions Laguerre-Gaussians

Figure: Laguerre-Gaussians with s = 1,d = 2 (left) and s = 2,d = 2 (right)centered at the origin.

[email protected] Lecture II Dolomites 2008

Page 53: Meshfree Approximation with Matlab - Lecture II: RBF ... · Derive matrix-free meshfree approximation method for scattered data approximation based on MLS and approximate approximation

Generating Functions Generalized Inverse Multiquadrics

Definition (Generalized Inverse Multiquadrics)

φ(t) =1πs/2

1(1 + t)2d+s

d∑j=0

(−1)j(2d + s − j − 1)!(1 + t)j

(d − j)!j!Γ(d + s/2− j)

Theorem ([Zhang (2007)])

Φ(x) = φ(‖x‖2

)is SPD and satisfies

∫Rd xαΦ(x)dx = δα,0,

0 ≤ |α| ≤ 2d + 1.

Examples: Φ(x)

s�d 0 1 2

11π

11 + ‖x‖2

(3− ‖x‖2)

(1 + ‖x‖2)31π

(5− 10‖x‖2 + ‖x‖4)

(1 + ‖x‖2)5

21π

1(1 + ‖x‖2)2

(2− ‖x‖2)

(1 + ‖x‖2)43π

(3− 6‖x‖2 + ‖x‖4)

(1 + ‖x‖2)6

34π2

1(1 + ‖x‖2)3

4π2

(5− 3‖x‖2)(1 + ‖x‖2)5

8π2

(7− 14‖x‖2 + 3‖x‖4)

(1 + ‖x‖2)7

[email protected] Lecture II Dolomites 2008

Page 54: Meshfree Approximation with Matlab - Lecture II: RBF ... · Derive matrix-free meshfree approximation method for scattered data approximation based on MLS and approximate approximation

Generating Functions Generalized Inverse Multiquadrics

Definition (Generalized Inverse Multiquadrics)

φ(t) =1πs/2

1(1 + t)2d+s

d∑j=0

(−1)j(2d + s − j − 1)!(1 + t)j

(d − j)!j!Γ(d + s/2− j)

Theorem ([Zhang (2007)])

Φ(x) = φ(‖x‖2

)is SPD and satisfies

∫Rd xαΦ(x)dx = δα,0,

0 ≤ |α| ≤ 2d + 1.

Examples: Φ(x)

s�d 0 1 2

11π

11 + ‖x‖2

(3− ‖x‖2)

(1 + ‖x‖2)31π

(5− 10‖x‖2 + ‖x‖4)

(1 + ‖x‖2)5

21π

1(1 + ‖x‖2)2

(2− ‖x‖2)

(1 + ‖x‖2)43π

(3− 6‖x‖2 + ‖x‖4)

(1 + ‖x‖2)6

34π2

1(1 + ‖x‖2)3

4π2

(5− 3‖x‖2)(1 + ‖x‖2)5

8π2

(7− 14‖x‖2 + 3‖x‖4)

(1 + ‖x‖2)7

[email protected] Lecture II Dolomites 2008

Page 55: Meshfree Approximation with Matlab - Lecture II: RBF ... · Derive matrix-free meshfree approximation method for scattered data approximation based on MLS and approximate approximation

Generating Functions Generalized Inverse Multiquadrics

Definition (Generalized Inverse Multiquadrics)

φ(t) =1πs/2

1(1 + t)2d+s

d∑j=0

(−1)j(2d + s − j − 1)!(1 + t)j

(d − j)!j!Γ(d + s/2− j)

Theorem ([Zhang (2007)])

Φ(x) = φ(‖x‖2

)is SPD and satisfies

∫Rd xαΦ(x)dx = δα,0,

0 ≤ |α| ≤ 2d + 1.

Examples: Φ(x)

s�d 0 1 2

11π

11 + ‖x‖2

(3− ‖x‖2)

(1 + ‖x‖2)31π

(5− 10‖x‖2 + ‖x‖4)

(1 + ‖x‖2)5

21π

1(1 + ‖x‖2)2

(2− ‖x‖2)

(1 + ‖x‖2)43π

(3− 6‖x‖2 + ‖x‖4)

(1 + ‖x‖2)6

34π2

1(1 + ‖x‖2)3

4π2

(5− 3‖x‖2)(1 + ‖x‖2)5

8π2

(7− 14‖x‖2 + 3‖x‖4)

(1 + ‖x‖2)7

[email protected] Lecture II Dolomites 2008

Page 56: Meshfree Approximation with Matlab - Lecture II: RBF ... · Derive matrix-free meshfree approximation method for scattered data approximation based on MLS and approximate approximation

Generating Functions Generalized Inverse Multiquadrics

Figure: Generalized inverse MQ with s = 1,d = 2 (left) and s = 2,d = 2(right) centered at the origin.

[email protected] Lecture II Dolomites 2008

Page 57: Meshfree Approximation with Matlab - Lecture II: RBF ... · Derive matrix-free meshfree approximation method for scattered data approximation based on MLS and approximate approximation

Iterated AMLS Approximation The Final Link

Data: {x j , fj}, j = 1, . . . ,NRBF interpolation Approximate MLS approximationPf (x) =

∑cjΦ(x ,x j) Qf (x) =

∑fjΦ(x ,x j)

Pf (x i) = fi (interpolation) Q(x i) ≈ fi (approximation)cj unknown Φ(x ,x j) unknown

Φ strictly positive definite Φ meets continuous moment conditionssolve (large) linear system no linear system to solve

Iterated approximate MLS approximationΦ strictly positive definite and meets continuous moment conditionsQ(0)

f (x) =∑

fjΦ(x ,x j) (approximate MLS approximation)

Q(1)f (x) = Q(0)

f (x) +∑[

fj −Q(0)f (x j)

]Φ(x ,x j) (residual update)

...Q(∞)

f (x) =∑

cjΦ(x ,x j) (RBF interpolation)

[email protected] Lecture II Dolomites 2008

Page 58: Meshfree Approximation with Matlab - Lecture II: RBF ... · Derive matrix-free meshfree approximation method for scattered data approximation based on MLS and approximate approximation

Iterated AMLS Approximation The Final Link

Data: {x j , fj}, j = 1, . . . ,NRBF interpolation Approximate MLS approximationPf (x) =

∑cjΦ(x ,x j) Qf (x) =

∑fjΦ(x ,x j)

Pf (x i) = fi (interpolation) Q(x i) ≈ fi (approximation)cj unknown Φ(x ,x j) unknown

Φ strictly positive definite Φ meets continuous moment conditionssolve (large) linear system no linear system to solve

Iterated approximate MLS approximationΦ strictly positive definite and meets continuous moment conditionsQ(0)

f (x) =∑

fjΦ(x ,x j) (approximate MLS approximation)

Q(1)f (x) = Q(0)

f (x) +∑[

fj −Q(0)f (x j)

]Φ(x ,x j) (residual update)

...Q(∞)

f (x) =∑

cjΦ(x ,x j) (RBF interpolation)

[email protected] Lecture II Dolomites 2008

Page 59: Meshfree Approximation with Matlab - Lecture II: RBF ... · Derive matrix-free meshfree approximation method for scattered data approximation based on MLS and approximate approximation

Iterated AMLS Approximation The Final Link

Properties of RBF and MLS methods

RBFs can be applied without any restriction on the location of thedata sitesapproximate MLS (AMLS) mainly applicable to uniformly spaceddata

RemarkApproximate approximation for scattered data is significantly morecomplicated than in the case of uniform data (see, e.g.,[Maz’ya and Schmidt (2007)]).

[email protected] Lecture II Dolomites 2008

Page 60: Meshfree Approximation with Matlab - Lecture II: RBF ... · Derive matrix-free meshfree approximation method for scattered data approximation based on MLS and approximate approximation

Iterated AMLS Approximation The Final Link

Other properties of RBF and AMLS approximation

RBFs are known to yield the best approximation to given(scattered) data with respect to the native space norm of the basicfunction used.With RBFs one needs to solve a (generally) large system of linearequations which can also be ill-conditioned.Using the AMLS method the solution is obtained via a simple sumbased directly on the given data. Thus, the AMLS method is aquasi-interpolation approach.The drawback associated with the simplicity of the AMLS methodis its lesser degree of accuracy.

[email protected] Lecture II Dolomites 2008

Page 61: Meshfree Approximation with Matlab - Lecture II: RBF ... · Derive matrix-free meshfree approximation method for scattered data approximation based on MLS and approximate approximation

Iterated AMLS Approximation The Final Link

Iterative Refinement

For solution of Ax = b in numerical linear algebra

1 Compute an approximate solution x0 of Ax = b2 For n = 1,2, . . . do

1 Compute the residual rn = b − Axn−12 Solve Aen = rn3 Update xn = xn−1 + en

[email protected] Lecture II Dolomites 2008

Page 62: Meshfree Approximation with Matlab - Lecture II: RBF ... · Derive matrix-free meshfree approximation method for scattered data approximation based on MLS and approximate approximation

Iterated AMLS Approximation The Final Link

Iterative Refinement for AMLS

1 Initialize r (0) = f

Q(0)f (x) =

N∑j=1

r (0)j Φ(x ,x j)

2 For n = 1,2, . . . do1 Find the new residuals at the data points

r (n)i = r (n−1)

i −N∑

j=1

r (n−1)j Φ(x i ,x j ), i = 1, . . . ,N

2 Update the approximation

Q(n)f (x) = Q(n−1)

f (x) +N∑

j=1

r (n)j Φ(x ,x j )

[email protected] Lecture II Dolomites 2008

Page 63: Meshfree Approximation with Matlab - Lecture II: RBF ... · Derive matrix-free meshfree approximation method for scattered data approximation based on MLS and approximate approximation

Iterated AMLS Approximation Understanding the Iteration

TheoremPart I (without acceleration)

Q(n)f = ΦT

n∑k=0

(I − A)k f =: Φ(n)T f ,

i.e., {Φ(n)(·,x1), . . . ,Φ(n)(·,xN)} provides new — approximatelycardinal — basis for span{Φ(·,x1), . . . ,Φ(·,xN)}.

Part II (with acceleration)

Q(n)f = ΦT

[2n−1∑k=0

(I − A)k

]f .

RemarkTheorem can be formulated for any quasi-interpolation schemeprovided iteration converges (‖I − A‖ < 1) and limiting interpolantexists (A non-singular).

[email protected] Lecture II Dolomites 2008

Page 64: Meshfree Approximation with Matlab - Lecture II: RBF ... · Derive matrix-free meshfree approximation method for scattered data approximation based on MLS and approximate approximation

Iterated AMLS Approximation Understanding the Iteration

TheoremPart I (without acceleration)

Q(n)f = ΦT

n∑k=0

(I − A)k f =: Φ(n)T f ,

i.e., {Φ(n)(·,x1), . . . ,Φ(n)(·,xN)} provides new — approximatelycardinal — basis for span{Φ(·,x1), . . . ,Φ(·,xN)}.

Part II (with acceleration)

Q(n)f = ΦT

[2n−1∑k=0

(I − A)k

]f .

RemarkTheorem can be formulated for any quasi-interpolation schemeprovided iteration converges (‖I − A‖ < 1) and limiting interpolantexists (A non-singular).

[email protected] Lecture II Dolomites 2008

Page 65: Meshfree Approximation with Matlab - Lecture II: RBF ... · Derive matrix-free meshfree approximation method for scattered data approximation based on MLS and approximate approximation

Iterated AMLS Approximation Understanding the Iteration

TheoremPart I (without acceleration)

Q(n)f = ΦT

n∑k=0

(I − A)k f =: Φ(n)T f ,

i.e., {Φ(n)(·,x1), . . . ,Φ(n)(·,xN)} provides new — approximatelycardinal — basis for span{Φ(·,x1), . . . ,Φ(·,xN)}.

Part II (with acceleration)

Q(n)f = ΦT

[2n−1∑k=0

(I − A)k

]f .

RemarkTheorem can be formulated for any quasi-interpolation schemeprovided iteration converges (‖I − A‖ < 1) and limiting interpolantexists (A non-singular).

[email protected] Lecture II Dolomites 2008

Page 66: Meshfree Approximation with Matlab - Lecture II: RBF ... · Derive matrix-free meshfree approximation method for scattered data approximation based on MLS and approximate approximation

Iterated AMLS Approximation Understanding the Iteration

Proof of Part I.By induction

Q(n+1)f

def= Q(n)

f +N∑

j=1

[f (x j )−Q(n)

f (x j )]

Φ(·,x j )

IH= ΦT

n∑k=0

(I − A)k f +N∑

j=1

[f (x j )−ΦT (x j )

n∑k=0

(I − A)k f

]Φ(·,x j )

= ΦTn∑

k=0

(I − A)k f + ΦT

[I − A

n∑k=0

(I − A)k

]f

Simplify further

Q(n+1)f = ΦT

[I +

n∑k=0

(I − A)k+1

]f

= ΦT

[n+1∑k=0

(I − A)k

]f = Φ(n+1)T f

[email protected] Lecture II Dolomites 2008

Page 67: Meshfree Approximation with Matlab - Lecture II: RBF ... · Derive matrix-free meshfree approximation method for scattered data approximation based on MLS and approximate approximation

Iterated AMLS Approximation Understanding the Iteration

Proof of Part I.By induction

Q(n+1)f

def= Q(n)

f +N∑

j=1

[f (x j )−Q(n)

f (x j )]

Φ(·,x j )

IH= ΦT

n∑k=0

(I − A)k f +N∑

j=1

[f (x j )−ΦT (x j )

n∑k=0

(I − A)k f

]Φ(·,x j )

= ΦTn∑

k=0

(I − A)k f + ΦT

[I − A

n∑k=0

(I − A)k

]f

Simplify further

Q(n+1)f = ΦT

[I +

n∑k=0

(I − A)k+1

]f

= ΦT

[n+1∑k=0

(I − A)k

]f = Φ(n+1)T f

[email protected] Lecture II Dolomites 2008

Page 68: Meshfree Approximation with Matlab - Lecture II: RBF ... · Derive matrix-free meshfree approximation method for scattered data approximation based on MLS and approximate approximation

Iterated AMLS Approximation Understanding the Iteration

Proof of Part I.By induction

Q(n+1)f

def= Q(n)

f +N∑

j=1

[f (x j )−Q(n)

f (x j )]

Φ(·,x j )

IH= ΦT

n∑k=0

(I − A)k f +N∑

j=1

[f (x j )−ΦT (x j )

n∑k=0

(I − A)k f

]Φ(·,x j )

= ΦTn∑

k=0

(I − A)k f + ΦT

[I − A

n∑k=0

(I − A)k

]f

Simplify further

Q(n+1)f = ΦT

[I +

n∑k=0

(I − A)k+1

]f

= ΦT

[n+1∑k=0

(I − A)k

]f = Φ(n+1)T f

[email protected] Lecture II Dolomites 2008

Page 69: Meshfree Approximation with Matlab - Lecture II: RBF ... · Derive matrix-free meshfree approximation method for scattered data approximation based on MLS and approximate approximation

Iterated AMLS Approximation Understanding the Iteration

Proof of Part I.By induction

Q(n+1)f

def= Q(n)

f +N∑

j=1

[f (x j )−Q(n)

f (x j )]

Φ(·,x j )

IH= ΦT

n∑k=0

(I − A)k f +N∑

j=1

[f (x j )−ΦT (x j )

n∑k=0

(I − A)k f

]Φ(·,x j )

= ΦTn∑

k=0

(I − A)k f + ΦT

[I − A

n∑k=0

(I − A)k

]f

Simplify further

Q(n+1)f = ΦT

[I +

n∑k=0

(I − A)k+1

]f

= ΦT

[n+1∑k=0

(I − A)k

]f = Φ(n+1)T f

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Iterated AMLS Approximation Understanding the Iteration

Proof of Part II.

As in Part I: Q(n+1)f = ΦT

n∑k=0

(I − A)k f + ΦT

[I − A

n∑k=0

(I − A)k

]f

Replace ΦT by Φ(n)T :

Q(n+1)f = ΦT

n∑k=0

(I − A)k f + Φ(n)T

[I − A

n∑k=0

(I − A)k

]f

= Φ(n)T

[2I − A

n∑k=0

(I − A)k

]f

= ΦTn∑

k=0

(I − A)k

[2I − A

n∑k=0

(I − A)k

]f

= ΦT

[2n+1∑k=0

(I − A)k

]f = Φ(2n+1)T f = Q(2n+1)

f

We are done by observing that the upper limit of summation satisfiesan+1 = 2an + 1, a0 = 0, i.e., an = 2n − 1.

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Iterated AMLS Approximation Understanding the Iteration

Proof of Part II.

As in Part I: Q(n+1)f = ΦT

n∑k=0

(I − A)k f + ΦT

[I − A

n∑k=0

(I − A)k

]f

Replace ΦT by Φ(n)T :

Q(n+1)f = ΦT

n∑k=0

(I − A)k f + Φ(n)T

[I − A

n∑k=0

(I − A)k

]f

= Φ(n)T

[2I − A

n∑k=0

(I − A)k

]f

= ΦTn∑

k=0

(I − A)k

[2I − A

n∑k=0

(I − A)k

]f

= ΦT

[2n+1∑k=0

(I − A)k

]f = Φ(2n+1)T f = Q(2n+1)

f

We are done by observing that the upper limit of summation satisfiesan+1 = 2an + 1, a0 = 0, i.e., an = 2n − 1.

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Iterated AMLS Approximation Understanding the Iteration

Proof of Part II.

As in Part I: Q(n+1)f = ΦT

n∑k=0

(I − A)k f + ΦT

[I − A

n∑k=0

(I − A)k

]f

Replace ΦT by Φ(n)T :

Q(n+1)f = ΦT

n∑k=0

(I − A)k f + Φ(n)T

[I − A

n∑k=0

(I − A)k

]f

= Φ(n)T

[2I − A

n∑k=0

(I − A)k

]f

= ΦTn∑

k=0

(I − A)k

[2I − A

n∑k=0

(I − A)k

]f

= ΦT

[2n+1∑k=0

(I − A)k

]f = Φ(2n+1)T f = Q(2n+1)

f

We are done by observing that the upper limit of summation satisfiesan+1 = 2an + 1, a0 = 0, i.e., an = 2n − 1.

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Iterated AMLS Approximation Understanding the Iteration

Proof of Part II.

As in Part I: Q(n+1)f = ΦT

n∑k=0

(I − A)k f + ΦT

[I − A

n∑k=0

(I − A)k

]f

Replace ΦT by Φ(n)T :

Q(n+1)f = ΦT

n∑k=0

(I − A)k f + Φ(n)T

[I − A

n∑k=0

(I − A)k

]f

= Φ(n)T

[2I − A

n∑k=0

(I − A)k

]f

= ΦTn∑

k=0

(I − A)k

[2I − A

n∑k=0

(I − A)k

]f

= ΦT

[2n+1∑k=0

(I − A)k

]f = Φ(2n+1)T f = Q(2n+1)

f

We are done by observing that the upper limit of summation satisfiesan+1 = 2an + 1, a0 = 0, i.e., an = 2n − 1.

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Iterated AMLS Approximation Understanding the Iteration

Proof of Part II.

As in Part I: Q(n+1)f = ΦT

n∑k=0

(I − A)k f + ΦT

[I − A

n∑k=0

(I − A)k

]f

Replace ΦT by Φ(n)T :

Q(n+1)f = ΦT

n∑k=0

(I − A)k f + Φ(n)T

[I − A

n∑k=0

(I − A)k

]f

= Φ(n)T

[2I − A

n∑k=0

(I − A)k

]f

= ΦTn∑

k=0

(I − A)k

[2I − A

n∑k=0

(I − A)k

]f

= ΦT

[2n+1∑k=0

(I − A)k

]f = Φ(2n+1)T f = Q(2n+1)

f

We are done by observing that the upper limit of summation satisfiesan+1 = 2an + 1, a0 = 0, i.e., an = 2n − 1.

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Iterated AMLS Approximation Understanding the Iteration

What about convergence?

Necessary and sufficient condition for convergence: ‖I − A‖2 < 1

Sufficient condition:

maxi=1,2,...,N

N∑

j=1

|Ai,j |

< 2,

Here A is specially scaled. For example, scaled s-dimensionalGaussian,

ϕ(r) =εs√πs

e−ε2r2/h2

For proofs of both see [F. & Zhang (2007)].

RemarkFor convergence ε must be chosen quite small.For such a choice the iteration will converge very slowly.BUT, allows stable computation for small ε

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Iterated AMLS Approximation Understanding the Iteration

What about convergence?

Necessary and sufficient condition for convergence: ‖I − A‖2 < 1Sufficient condition:

maxi=1,2,...,N

N∑

j=1

|Ai,j |

< 2,

Here A is specially scaled. For example, scaled s-dimensionalGaussian,

ϕ(r) =εs√πs

e−ε2r2/h2

For proofs of both see [F. & Zhang (2007)].

RemarkFor convergence ε must be chosen quite small.For such a choice the iteration will converge very slowly.BUT, allows stable computation for small ε

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Page 77: Meshfree Approximation with Matlab - Lecture II: RBF ... · Derive matrix-free meshfree approximation method for scattered data approximation based on MLS and approximate approximation

Iterated AMLS Approximation Understanding the Iteration

What about convergence?

Necessary and sufficient condition for convergence: ‖I − A‖2 < 1Sufficient condition:

maxi=1,2,...,N

N∑

j=1

|Ai,j |

< 2,

Here A is specially scaled. For example, scaled s-dimensionalGaussian,

ϕ(r) =εs√πs

e−ε2r2/h2

For proofs of both see [F. & Zhang (2007)].

RemarkFor convergence ε must be chosen quite small.For such a choice the iteration will converge very slowly.BUT, allows stable computation for small ε

[email protected] Lecture II Dolomites 2008

Page 78: Meshfree Approximation with Matlab - Lecture II: RBF ... · Derive matrix-free meshfree approximation method for scattered data approximation based on MLS and approximate approximation

Iterated AMLS Approximation in MATLAB Basic Version

Program (IAMLS_sD.m)1 s = 2; N = 289; M = 500; maxn = 50;2 global rbf; rbf_definition; D = 2*s;3 [dsites, N] = CreatePoints(N,s,’h’);4 ctrs = dsites;5 epoints = CreatePoints(M,s,’r’);6 rhs = testfunctionsD(dsites);7 h = 1/(nthroot(N,s)-1); ep = 1/(sqrt(D)*h);8 DM_data = DistanceMatrix(dsites,ctrs);9 IM = rbf(ep,DM_data)/(sqrt(pi*D)^s);

10 DM_eval = DistanceMatrix(epoints,ctrs);11 EM = rbf(ep,DM_eval)/(sqrt(pi*D)^s);12 Pf = EM*rhs;13 maxerr(1) = max(abs(Pf - exact));14 rms_err(1) = norm(Pf-exact)/sqrt(M);15 for n=2:maxn16 rhs = rhs - IM*rhs;17 Pf = Pf + EM*rhs;18 maxerr(n) = max(abs(Pf - exact));19 rms_err(n) = norm(Pf-exact)/sqrt(M);20 end

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Page 79: Meshfree Approximation with Matlab - Lecture II: RBF ... · Derive matrix-free meshfree approximation method for scattered data approximation based on MLS and approximate approximation

Iterated AMLS Approximation in MATLAB Basic Version

Figure: Convergence of iterated AMLS approximant for 1089 Halton points(ε = 16, left) and 289 Halton points (ε = 1,right).

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Iterated AMLS Approximation in MATLAB Basic Version

Figure: Comparison for RBF interpolation (top) and IAMLS approximation(bottom) for 1089 Halton points (ε = 16, left, errors) and 289 Halton points(ε = 1, right, fits).

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Iterated AMLS Approximation in MATLAB Basic Version

Franke-like test function

Figure: Accuracy and stability of RBF interpolant, AMLS approximant, anditerated AMLS approximant for 1089 Halton data points in 2D.

ε “large” if ε > 38 (spiky surfaces for both RBF and AMLS)ε too large for convergence (maximum row sum > 2) if ε > 48Rapid convergence for 38 < ε < 58 (spiky surface, but IAMLSusually smoother)“Good” interpolant (slow convergence of IAMLS) for 12 < ε < 38,often contains “optimal” εSmall ε (ε < 12 here), then IAMLS more stable and may overcomeill-conditioning

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Iterated AMLS Approximation in MATLAB Vectorized Version

From the proof of Part I:

Q(n+1)f = ΦT

[I +

n∑k=0

(I − A)k+1

]f

= ΦT

[I +

n∑k=0

(I − A)k (I − A)

]f

Therefore, with P(n) =∑n

k=0 (I − A)k , evaluation on the data sitesyields

Q(n+1)f = A

[I + P(n) (I − A)

]f

orP(n+1) = I + P(n) (I − A)

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Page 83: Meshfree Approximation with Matlab - Lecture II: RBF ... · Derive matrix-free meshfree approximation method for scattered data approximation based on MLS and approximate approximation

Iterated AMLS Approximation in MATLAB Vectorized Version

From the proof of Part I:

Q(n+1)f = ΦT

[I +

n∑k=0

(I − A)k+1

]f

= ΦT

[I +

n∑k=0

(I − A)k (I − A)

]f

Therefore, with P(n) =∑n

k=0 (I − A)k , evaluation on the data sitesyields

Q(n+1)f = A

[I + P(n) (I − A)

]f

orP(n+1) = I + P(n) (I − A)

[email protected] Lecture II Dolomites 2008

Page 84: Meshfree Approximation with Matlab - Lecture II: RBF ... · Derive matrix-free meshfree approximation method for scattered data approximation based on MLS and approximate approximation

Iterated AMLS Approximation in MATLAB Vectorized Version

From the proof of Part I:

Q(n+1)f = ΦT

[I +

n∑k=0

(I − A)k+1

]f

= ΦT

[I +

n∑k=0

(I − A)k (I − A)

]f

Therefore, with P(n) =∑n

k=0 (I − A)k , evaluation on the data sitesyields

Q(n+1)f = A

[I + P(n) (I − A)

]f

orP(n+1) = I + P(n) (I − A)

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Iterated AMLS Approximation in MATLAB Vectorized Version

Program (IAMLSVectorized_sD.m)

1 s = 2; N = 289; M = 500; maxn = 50;2 global rbf; rbf_definition; D = 2*s;3 [dsites, N] = CreatePoints(N,s,’h’);4 ctrs = dsites; respts = dsites;5 epoints = CreatePoints(M,s,’r’);6 rhs = testfunctionsD(dsites);7 h = 1/(nthroot(N,s)-1); ep = 1/(sqrt(D)*h);8 DM_data = DistanceMatrix(dsites,ctrs);9 IM = rbf(ep,DM_data)/(sqrt(pi*D)^s);

10 DM_eval = DistanceMatrix(epoints,ctrs);11 EM = rbf(ep,DM_eval)/(sqrt(pi*D)^s);12 P = eye(N);13 for n=1:maxn14 P = eye(N) + P*(eye(N)-IM);15 Pf = EM*P*rhs;16 maxerr(n) = norm(Pf-exact,inf);17 rms_err(n) = norm(Pf-exact)/sqrt(M);18 end

Motivated by proof. Much slower than previous code, but prepares foracceleration

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Iterated AMLS Approximation in MATLAB Vectorized and Accelerated Version

From the proof of Part II:

Q(n+1)f = ΦT

n∑k=0

(I − A)k

[2I − A

n∑k=0

(I − A)k

]f

Therefore, with P(n) =∑n

k=0 (I − A)k , evaluation on the data sitesyields

Q(n+1)

f = AP(n)[2I − AP(n)

]f

orP(n+1) = P(n)

[2I − AP(n)

]

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Page 87: Meshfree Approximation with Matlab - Lecture II: RBF ... · Derive matrix-free meshfree approximation method for scattered data approximation based on MLS and approximate approximation

Iterated AMLS Approximation in MATLAB Vectorized and Accelerated Version

From the proof of Part II:

Q(n+1)f = ΦT

n∑k=0

(I − A)k

[2I − A

n∑k=0

(I − A)k

]f

Therefore, with P(n) =∑n

k=0 (I − A)k , evaluation on the data sitesyields

Q(n+1)

f = AP(n)[2I − AP(n)

]f

orP(n+1) = P(n)

[2I − AP(n)

]

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Page 88: Meshfree Approximation with Matlab - Lecture II: RBF ... · Derive matrix-free meshfree approximation method for scattered data approximation based on MLS and approximate approximation

Iterated AMLS Approximation in MATLAB Vectorized and Accelerated Version

From the proof of Part II:

Q(n+1)f = ΦT

n∑k=0

(I − A)k

[2I − A

n∑k=0

(I − A)k

]f

Therefore, with P(n) =∑n

k=0 (I − A)k , evaluation on the data sitesyields

Q(n+1)

f = AP(n)[2I − AP(n)

]f

orP(n+1) = P(n)

[2I − AP(n)

]

[email protected] Lecture II Dolomites 2008

Page 89: Meshfree Approximation with Matlab - Lecture II: RBF ... · Derive matrix-free meshfree approximation method for scattered data approximation based on MLS and approximate approximation

Iterated AMLS Approximation in MATLAB Vectorized and Accelerated Version

Program (IAMLSAccel_sD.m)1 s = 2; N = 289; M = 500; maxn = 50;2 global rbf; rbf_definition; D = 2*s;3 [dsites, N] = CreatePoints(N,s,’h’);4 ctrs = dsites;5 epoints = CreatePoints(M,s,’r’);6 rhs = testfunctionsD(dsites);7 h = 1/(nthroot(N,s)-1); ep = 1/(sqrt(D)*h);8 DM_data = DistanceMatrix(dsites,ctrs);9 IM = rbf(ep,DM_data)/(sqrt(pi*D)^s);

10 DM_eval = DistanceMatrix(epoints,ctrs);11 EM = rbf(ep,DM_eval)/(sqrt(pi*D)^s);12 P = eye(N); AP = IM*P;13 for n=1:maxn14 P = P*(2*eye(N)-AP);15 AP = IM*P;16 Pf = EM*P*rhs;17 maxerr(n) = norm(Pf-exact,inf);18 rms_err(n) = norm(Pf-exact)/sqrt(M);19 end

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Iterated AMLS Approximation in MATLAB Vectorized and Accelerated Version

Figure: Errors after n iterations for 1089 Halton points (Gaussians withε = 16). n accelerated iterations correspond to 2n − 1 iterations withoutacceleration.

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Iterated AMLS Approximation in MATLAB Vectorized and Accelerated Version

A few iterations of accelerated iterated AMLS can be consideredas an efficient and numerically stable alternative to the RBFinterpolation approach.While the initial iterate of the algorithm is an AMLS approximationdesigned for uniformly spaced data, we can see how the algorithmgenerates an equivalently nice solution even when the data sitesare irregularly distributed.Convergence results for approximate approximation can betransferred to the limiting RBF interpolation. This explainssaturation of stationary RBF interpolation.Applications of iterated AMLS to

preconditioning (next lecture)smoothing of noisy data (lecture 5)

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Appendix References

References I

Buhmann, M. D. (2003).Radial Basis Functions: Theory and Implementations.Cambridge University Press.

Fasshauer, G. E. (2007).Meshfree Approximation Methods with MATLAB.World Scientific Publishers.

Higham, D. J. and Higham, N. J. (2005).MATLAB Guide.SIAM (2nd ed.), Philadelphia.

Maz’ya, V. and Schmidt, G. (2007).Approximate Approximations.Mathematical Surveys and Monographs, vol. 141, Americal Mathematical Society(Providence, RI).

Wendland, H. (2005).Scattered Data Approximation.Cambridge University Press.

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Appendix References

References II

Allasia, G. and Giolito, P. (1997).Fast evaluation of cardinal radial basis interpolants.in Surface Fitting and Multiresolution Methods, A. Le Méhauté, C. Rabut, and L.L. Schumaker (eds.), Vanderbilt University Press (Nashville, TN), pp. 1–8.

Bos, L. P. and Šalkauskas, K. (1989).Moving least-squares are Backus-Gilbert optimal.J. Approx. Theory 59, pp. 267–275.

Farwig, R. (1986).Multivariate interpolation of arbitrarily spaced data by moving least squaresmethods.J. Comput. Appl. Math. 16, pp. 79–93.

Farwig, R. (1987).Multivariate interpolation of scattered data by moving least squares methods.in Algorithms for Approximation, Oxford Univ. Press (New York), pp. 193–211,1987.

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Appendix References

References III

Farwig, R. (1991).Rate of convergence of moving least squares interpolation methods: theunivariate case.in Progress in Approximation Theory, Academic Press (Boston, MA),pp. 313–327.

Fasshauer, G. E. and Zhang, J. G. (2007).Iterated approximate moving least squares approximation.in Advances in Meshfree Techniques, V. M. A. Leitao, C. Alves and C. A. Duarte(eds.), Springer, pp. 221–240.

Fornberg, B., Larsson, E. and Wright, G. (2004).A new class of oscillatory radial basis functions.Comput. Math. Appl. 51 8, pp. 1209–1222.

Levin, D. (1998).The approximation power of moving least-squares.Math. Comp. 67, pp. 1517–1531.

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Appendix References

References IV

Wendland, H. (2001).Local polynomial reproduction and moving least squares approximation.IMA J. Numer. Anal. 21 1, pp. 285–300.

Zhang, J. G. (2007).Iterated Approximate Moving Least-Squares: Theory and Applications.Ph.D. Dissertation, Illinois Institute of Technology.

MATLAB Central File Exchange.available online athttp://www.mathworks.com/matlabcentral/fileexchange/.

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