On iterated interpolation

Abstract: Matrices resulting from the discretization of a kernel function, e.g., in the context of integral equations or sampling probability distributions, can frequently be approximated by interpolation. In order to improve the efficiency, a multi-level approach can be employed that involves interpolating the kernel function and its approximations multiple times. This article presents a new approach to analyze the error incurred by these iterated interpolation procedures that is considerably more elegant than its predecessors and allows us to treat not only the kernel function itself, but also its derivatives.