Quantitative Analysis
Parallel Processing
Numerical Analysis
C++ Multithreading
Python for Excel
Python Utilities
Services
Author

I. Wavelet calculations.
II. Calculation of approximation spaces in one dimension.
III. Calculation of approximation spaces in one dimension II.
1. Crudification of piecewise-quadratic representation.
2. Convergence of modified cascade procedure.
3. Calculation of boundary scaling functions II.
IV. One dimensional problems.
V. Stochastic optimization in one dimension.
VI. Scalar product in N-dimensions.
VII. Wavelet transform of payoff function in N-dimensions.
VIII. Solving N-dimensional PDEs.
Downloads. Index. Contents.

Convergence of modified cascade procedure.


n this section we use the crudification operator, see the definition ( Crudification operator ), to implement the properties ( Wavelet approximation 2 )-( Wavelet approximation 4 ) with $\varepsilon_{i}$ close to machine precision and wavelet representations of reasonable size. We look at $\QTR{cal}{R}$ -based scaling function basis MATH .

The script wavelet2\_run_cascade.py performs the following procedure.

Algorithm

(Modified cascade procedure) Choose a positive integer $d$ . For a given scaling filter $h$ (see the section ( Symmetric biorthogonal wavelets )) do the following.

1. Set MATH Thus $u^{0}\in C^{1}$ and a piecewise quadratic polynomial with finite support centered around $\frac{1}{2}$ : MATH .

2. Calculate MATH

3. Set MATH and calculate MATH Stop when numerical errors start to compete with convergence. Set MATH

4. Calculate MATH MATH

Similarly calculate MATH from the scaling filter $\tilde{h}$ .

For the PiecewisePoly library (see the section ( Piecewise polynomials in parallel )) compiled over double precision and $h$ calculated for $n=5$ we obtain MATH MATH MATH MATH MATH

The script wavelet2\approxTest.py calculates the MATH . MATH MATH MATH MATH MATH

The same procedure is implemented in the scripts _l_run_cascade.py and l_approxTest.py using the class LPoly introduced in the section ( Manipulation of localized piecewise polynomial functions ). The convergence results are as follows. MATH MATH MATH MATH MATH Thus, there is a significant improvement in $L_{2}$ approximation for high $d$ . The MATH results are as follows. MATH MATH MATH MATH MATH Thus, improvement in polynomial approximation is relatively slight.





Downloads. Index. Contents.


















Copyright 2007