Convergence and near-optimal sampling for multivariate function approximations in irregular domains via Vandermonde with Arnoldi

Vandermonde matrices are usually exponentially ill-conditioned and often result in unstable approximations. In this paper we introduce and analyse the multivariate Vandermonde with Arnoldi (V+A) method, which is based on least-squares approximation together with a Stieltjes orthogonalization process, for approximating continuous, multivariate functions on $d$-dimensional irregular domains. The V+A method addresses the ill-conditioning of the Vandermonde approximation by creating a set of discrete orthogonal bases with respect to a discrete measure. The V+A method is simple and general, relying only on the domain’s sample points. This paper analyses the sample complexity of the least-squares approximation that uses the V+A method. We show that, for a large class of domains, this approximation gives a well-conditioned and near-optimal $N$-dimensional least-squares approximation using $M={\cal O}(N^{2})$ equispaced sample points or $M={\cal O}(N^{2}\log N)$ random sample points, independently of $d$. We provide a comprehensive analysis of the error estimates and the rate of convergence of the least-squares approximation that uses the V+A method. Based on the multivariate V+A techniques we propose a new variant of the weighted V+A least-squares algorithm that uses only $M={\cal O}(N\log N)$ sample points to achieve a near-optimal approximation. Our initial numerical results validate that the V+A least-squares approximation method provides well-conditioned and near-optimal approximations for multivariate functions on (irregular) domains. Additionally, the (weighted) least-squares approximation that uses the V+A method performs competitively with state-of-the-art orthogonalization techniques and can serve as a practical tool for selecting near-optimal distributions of sample points in irregular domains.