Improved error bound for multivariate Chebyshev polynomial interpolation
Kathrin Glau, Mirco Mahlstedt · International Journal of Computer Mathematics · 2019
Chebyshev interpolation is a highly effective, intensively studied method and enjoys excellent numerical properties which provides tremendous application potential in mathematical finance. The interpolation nodes are known beforehand, implementation is straightforward and the method is numerically stable. For efficiency, a sharp error bound is essential, in particular for high-dimensional applications. For tensorized Chebyshev interpolation, we present an error bound that improves existing results significantly.