Near-optimal sampling strategies for multivariate function approximation on general domains

Abstract: In this paper, we address the problem of approximating a multivariate function defined on a general domain in $d$ dimensions from sample points. We consider weighted least-squares approximation in an arbitrary finite-dimensional space $P$ from independent random samples taken according to a suitable measure. In general, least-squares approximations can be inaccurate and ill-conditioned when the number of sample points $M$ is close to $N = \dim(P)$. To counteract this, we introduce a novel method for sampling in general domains which leads to provably accurate and well-conditioned approximations. The resulting sampling measure is discrete, and therefore straightforward to sample from. Our main result shows near-optimal sample complexity for this procedure; specifically, $M = \mathcal{O}(N \log(N))$ samples suffice for a well-conditioned and accurate approximation. Numerical experiments on polynomial approximation in general domains confirm the benefits of this method over standard sampling.