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Numerical Analysis of Wavelet Methods 1st ed Edition
Albert Cohen (Eds.) Digital Instant Download
Author(s): Albert Cohen (Eds.)
ISBN(s): 9780444511249, 0444511245
Edition: 1st ed
File Details: PDF, 13.93 MB
Year: 2003
Language: english
NUMERICAL ANALYSIS OF
WAVELET METHODS
 STUDIES IN MATHEMATICS
AND ITS APPLICATIONS

VOLUME 32

Editors:
D . N . A R N O L D , Minnesota
P . G . C I A R L E T , Hong Kong and Paris
P.L. L I O N S , Paris
H . A . VAN DER V O R S T , Utrecht

Editors Emeriti."
H. F U J I T A , Tokyo
H . B . K E L L E R , Pasadena
J.L. L I O N S t, Paris
G. P A P A N I C O L A O U , New York

ELSEVIER

AMSTERDAM - BOSTON - LONDON - NEW YORK - OXFORD - PARIS

SAN D I E G O - SAN F R A N C I S C O - S I N G A P O R E - S Y D N E Y - TOKYO
 NUMERICAL ANALYSIS OF
WAVELET METHODS

ALBERT COHEN

Laboratoire Jacques-Louis Lions

Universit6 Pierre et Marie Curie
Paris, France

2003

ELSEVIER

A M S T E R D A M - B O S T O N - L O N D O N - N E W Y O R K - O X F O R D - PARIS
SAN DIEGO - SAN FRANCISCO- SINGAPORE- SYDNEY- TOKYO
E L S E V I E R SCIENCE B.V.
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To Thierry
This Page Intentionally Left Blank
Foreword

This book has initially appeared as a chapter in the Handbook of Numerical

Analysis (volume VII), edited by Philippe Ciarlet and Jacques-Louis Lions.
The main novelties in the present edition are contained in the last chapter. I
have tried to give a synthetic survey on the main strategies which have been
followed since the 1990's in the development of adaptive wavelet methods
for the numerical treatment of partial differential equations, in connection
with the topic of nonlinear approximation, and to point out some of the
important challenges which remain in this area.
I want to express my gratitude to Jonathan Burd for his excellent proof-
reading job, and to all those who helped a great deal in improving this
material by their valuable remarks: Martin Campos, Sidi-Mahmoud Kaber,
Simon Masnou, Marie Postel and Robert Ryan. This book is also the reflec-
tion of long term interactions with Wolfgang Dahmen, Ingrid Daubechies,
Ronald DeVore and Yves Meyer. Beside the beautiful inspiration that their
work has been for me, I also wish to thank them for their constant support
and friendship through the years.

oo

Vll
This Page Intentionally Left Blank
Contents

Introduction xi

Notations xvii

1 Basic examples 1
1.1 I n t r o d u c t i o n . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
1.2 T h e H a a r s y s t e m . . . . . . . . . . . . . . . . . . . . . . . . . 2
1.3 T h e S c h a u d e r h i e r a r c h i c a l basis . . . . . . . . . . . . . . . . . 10
1.4 M u l t i v a r i a t e c o n s t r u c t i o n s . . . . . . . . . . . . . . . . . . . . 16
1.5 A d a p t i v e a p p r o x i m a t i o n . . . . . . . . . . . . . . . . . . . . . 22
1.6 Multilevel p r e c o n d i t i o n i n g . . . . . . . . . . . . . . . . . . . . 33
1.7 C o n c l u s i o n s . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40
1.8 Historical n o t e s . . . . . . . . . . . . . . . . . . . . . . . . . . 41

2 Multiresolution approximation 43
2.1 I n t r o d u c t i o n . . . . . . . . . . . . . . . . . . . . . . . . . . . . 43
2.2 M u l t i r e s o l u t i o n a n a l y s i s . . . . . . . . . . . . . . . . . . . . . 45
2.3 Refinable f u n c t i o n s . . . . . . . . . . . . . . . . . . . . . . . . 57
2.4 S u b d i v i s i o n schemes . . . . . . . . . . . . . . . . . . . . . . . 63
2.5 C o m p u t i n g w i t h refinable f u n c t i o n s . . . . . . . . . . . . . . . 70
2.6 W a v e l e t s a n d m u l t i s c a l e a l g o r i t h m s . . . . . . . . . . . . . . . 74
2.7 S m o o t h n e s s a n a l y s i s . . . . . . . . . . . . . . . . . . . . . . . 83
2.8 P o l y n o m i a l e x a c t n e s s . . . . . . . . . . . . . . . . . . . . . . . 89
2.9 Duality, o r t h o n o r m a l i t y a n d i n t e r p o l a t i o n . . . . . . . . . . . 94
2.10 I n t e r p o l a t o r y a n d o r t h o n o r m a l wavelets . . . . . . . . . . . . 99
2.11 W a v e l e t s a n d splines . . . . . . . . . . . . . . . . . . . . . . . 107
2.12 B o u n d e d d o m a i n s a n d b o u n d a r y c o n d i t i o n s . . . . . . . . . . 120
2.13 P o i n t values, cell averages, finite e l e m e n t s . . . . . . . . . . . 131
2.14 C o n c l u s i o n s . . . . . . . . . . . . . . . . . . . . . . . . . . . . 150
2.15 Historical n o t e s . . . . . . . . . . . . . . . . . . . . . . . . . . 151

ix
x CONTENTS

3 Approximation and smoothness 155

3.1 I n t r o d u c t i o n . . . . . . . . . . . . . . . . . . . . . . . . . . . . 155
3.2 F u n c t i o n spaces . . . . . . . . . . . . . . . . . . . . . . . . . . 159
3.3 Di rect e s t i m a t e s . . . . . . . . . . . . . . . . . . . . . . . . . 165
3.4 Inverse e s t i m a t e s . . . . . . . . . . . . . . . . . . . . . . . . . 171
3.5 I n t e r p o l a t i o n a n d a p p r o x i m a t i o n spaces . . . . . . . . . . . . 174
3.6 C h a r a c t e r i z a t i o n of s m o o t h n e s s classes . . . . . . . . . . . . . 182
3.7 L P - u n s t a b l e a p p r o x i m a t i o n a n d 0 < p < 1 . . . . . . . . . . . 187
3.8 N e g a t i v e s m o o t h n e s s a n d LP-spaces . . . . . . . . . . . . . . . 199
3.9 B o u n d e d d o m a i n s . . . . . . . . . . . . . . . . . . . . . . . . . 208
3.10 B o u n d a r y c o n d i t i o n s . . . . . . . . . . . . . . . . . . . . . . . 216
3.11 Multilevel p r e c o n d i t i o n i n g . . . . . . . . . . . . . . . . . . . . 226
3.12 C o n c l u s i o n s . . . . . . . . . . . . . . . . . . . . . . . . . . . . 239
3.13 Historical n o t e s . . . . . . . . . . . . . . . . . . . . . . . . . . 240

4 Adaptivity 243
4.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . 243
4.2 N o n l i n e a r a p p r o x i m a t i o n in Besov spaces . . . . . . . . . . . 248
4.3 N o n l i n e a r wavelet a p p r o x i m a t i o n in L p . . . . . . . . . . . . . 254
4.4 A d a p t i v e finite e l e m e n t a p p r o x i m a t i o n . . . . . . . . . . . . . 262
4.5 O t h e r t y p e s of n o n l i n e a r a p p r o x i m a t i o n s . . . . . . . . . . . . 267
4.6 A d a p t i v e a p p r o x i m a t i o n of o p e r a t o r s . . . . . . . . . . . . . . 276
4.7 Nonlinear approximation and PDE's .............. 289
4.8 Adaptive multiscale processing . . . . . . . . . . . . . . . . . 296
4.9 A d a p t i v e space r e f in e m e n t . . . . . . . . . . . . . . . . . . . . 306
4.10 Conclusions . . . . . . . . . . . . . . . . . . . . . . . . . . . . 317
4.11 Historical n o t e s . . . . . . . . . . . . . . . . . . . . . . . . . . 318

References 321

Index 335
Introduction

Since the 1960's, multiscale methods have been used in numerous areas of
applied mathematics as diverse as signal analysis, statistics, computer aided
geometric design, image processing and numerical analysis. The mathemat-
ical background underlying these methods was substantially reinforced with
the emergence of wavelet bases in the 1980's.

The objectives of this book are to survey the theoretical results that are
involved in the numerical analysis of wavelet methods, and more generally of
multiscale decomposition methods, for numerical simulation problems, and
to provide the most relevant examples o] such mathematical tools in this
particular context.

Multiscale methods are based on approximations (fj)j>o to the data (or

the unknown) f of a given problem, at various resolution levels indexed by j.
The corresponding scales of resolution hj are usually chosen to be of order
2-J: the approximation fj should thus be viewed as a sketchy picture of f
that cannot oscillate at a frequency higher than 2j. As an example, if f is a
univariate continuous function, one could choose for fj the unique function
such that f j ( 2 - J k ) = f ( 2 - J k ) and such that fj is affine when restricted to
[2-Jk,2-J(k + 1)] for all k e Z.
Formally, one obtains a multiscale decomposition by expanding f into
the sum of its coarsest approximation and additional details:

S-So+ gj,
j>o

where each gj = fj+l - fj represents the fluctuation of f between the two

successive levels of resolution j and j + 1.
In practice, these approximations and decompositions can be defined
and implemented in various ways: by contrast with the one and unique
Fourier transform, a "multiscale transform" can be picked out of a versatile

xi
xii INTROD UCTION

collection of mathematical tools. Some of them can furthermore be imple-

mented by means of fast algorithms, and are therefore more appealing for
numerical applications. In the context of numerical computations, one can
be interested in further decomposing each fluctuation gj into local contri-
butions. For specific types of multiresolution approximations, this task can
be achieved using a wavelet basis: one introduces an appropriate function
r (in the case where f is a univariate function) that is well localized both
in space and frequency, and oscillates in the sense that f r = 0, and allows
one to expand gj according to

gj - ~ dj, k Cj,~ ,
kEZ

where the dj,k ~s are scalar coefficients and each wavelet Cj,k := 2J/2r
contributes to the fluctuation of f at scale 2-J in a neighborhood of size
2-J[Supp(r around the point 2-Jk. Here again, there exists a versatile
collection of functions r that are admissible for generating wavelets bases.
One should thus keep in mind that, for a given problem, the efficiency of a
multiscale decomposition method is strongly tied to the choice of a specific
tool and associated algorithm. In the field of numerical analysis, multiscale
and wavelets decompositions have been successfully used for three main
tasks:

1. Preconditioning large systems arising from the discretization of elliptic

partial differential equations,

2. Adaptive approximation of functions which are not uniformly smooth,

3. Sparse representation of initially full matrices arising in the discretiza-

tion of integral equations.

It should be noted that in each of these applications, the use of multiscale

and wavelet decompositions is very close in essence to other methods that
have been previously introduced: multigrid methods for preconditioning,
mesh refinement for adaptivity, multipole and panel clustering algorithms
for integral equations.

Do wavelet-based techniques bring specific improvements, when dealing

with the above tasks, in comparison to these more classical methods ?

Clearly, these techniques enlarge the "library" of tools that are available
for dealing with these tasks. As it was already mentioned, an optimal
choice among these tools is strongly problem dependent. More importantly,
INTROD UCTION xiii

in the development and analysis of these techniques, one can benefit from a
strong theoretical input from harmonic analysis and approximation theory.
In particular, the possibility of characterizing various smoothness classes-
e.g. Sobolev, HSlder and Besov spaces - from the numerical properties of
multiscale decompositions, turns out to play a key role in the application of
wavelet methods to the three previously mentioned tasks. This brings out
a new and fruitful point of view, which can also be useful in the analysis of
more classical, related methods.
Our goal here is not to present all the existing wavelet methods for the
numerical simulation of physical processes (the amount of literature is al-
ready huge and still growing fast), but rather to give a broad account of
this theoretical imput to the numerical analysis of multiscale methods.

This book is organized as follows:

In Chapter 1, we motivate the introduction of a general theory by two
very simple examples of multiscale decomposition schemes. These schemes
are associated with the most elementary wavelet bases: the Haar system and
the Schauder hierarchical basis, that are respectively built from approxima-
tions by piecewise constant functions and piecewise affine continuous func-
tions. We show how these schemes can be adapted to the decomposition of
multivariate functions and how they can be used for adaptive approxima-
tion of functions, sparsification of integral operators, and preconditioning of
elliptic equations. We discuss their inherent limitations for these applica-
tions. This chapter is descriptive in essence and the results are deliberately
not organized according to the usual "lemma-theorem-corollary" sequence.
The reader who is prepared to enter directly the general theory can easily
skip it.
In Chapter 2, we review the general concept of multiresolution approxi-
mation, consisting in a nested sequence of approximation spaces,

..V_~
9 c Vo c V~ c . - .

which are used to define the approximation fj E Vj. This concept leads
in a natural way to the construction of wavelets in terms of details com-
plementing the approximation between Vj and k~+l. In practice, there are
two main approaches to building such tools. The first one, which is the
most intuitive to the numerician, consists in constructing the spaces V~ as a
nested sequence of finite element spaces, or as nested discretizations by cell
averages or point values equipped with certain inter-scale operators. The
second one is based on a single scaling function ~ generating Vj in the sense
that ~ ( 2 J - - k ) , k E Z, is a Riesz basis of Vj. This last approach yields
tools of a different nature than finite elements, that might seem difficult to
xiv INTRODUCTION

handle for practical computations: in particular, the function q0 is not given

explicitly, but as a solution of an equation of the type

- Z -
nEZ

that expresses the embedding V0 c V1. A solution of such an equation is

also called a refinable function. Since they are far less classical than finite
elements in numerical analysis, and since they are a key tool in the construc-
tion of wavelet bases, we devote an important part of this chapter to the
study of refinable functions. In particular, we show how they can be com-
puted and used for numerical analysis purposes, and we analyze the relations
between the properties of the coefficients hn and properties of ~o, such as
smoothness, approximation power of the spaces Vj, stability, orthonormality
and biorthogonality. We describe the examples of refinable functions and
related multiscale decompositions that are relevant in numerical analysis, in
particular biorthogonal decompositions into spline functions. We show how
these tools can be adapted to multivariate domains with specific boundary
conditions. We finally return to the first approach and address the con-
struction of multiscale decompositions associated with the most commonly
used discretizations in numerical analysis: point values, cell averages and
finite elements.
In Chapter 3, we show how smoothness classes can be characterized from
the decay properties of (][gj[]Lp)j>_O and ([]f--fj[[Lp)j>_O, as j goes to +oo, or
equivalently from the numerical properties of the wavelet coefficients dj,k.
These results turn out to be the key to the theoretical understanding of
multilevel preconditioning for elliptic operators, as well as adaptive approx-
imation. T h e / 2 norm which is used here to measure the error is the same
as the L p metric associated with the smoothness class: for example, in the
case of the Sobolev spaces H s, one will consider the behaviour of [ ] f - fj[[L 2
or ][gj[[L2. The quantity [ I f - fj][Lp is a linear approximation error, in the
sense that fj is an approximation of f in the linear space Vj, and is usu-
ally obtained through a linear operation applied to f (typically a projection
onto Vj). These characterization results are essentially based on the com-
bination of two types of estimates: a direct (or Jackson type) inequality
and an inverse (or Bernstein type) inequality. We show how to establish
such inequalities in the case of the multiresolution spaces that were built
in Chapter 2. We discuss several variants of these results, as well as their
adaptation to function spaces defined on bounded domains with prescribed
boundary conditions. We finally discuss their application to the multilevel
preconditioning of elliptic operators.
In Chapter 4, we focus on adaptive approximation: the function f is now
INTRODUCTION xv

approximated by a combination

f N -- ~ cj,k Cj,~ ,
(j,k)eAN

where the set AN has cardinality N and is allowed to depend on the func-
tion f, in order to improve the approximation. In practice, AN typically
represents the N largest contributions in the wavelet decomposition of f,
in the metric where the error is to be measured. Such data-dependent ap-
proximation procedures are intrisically nonlinear. As in the case of linear
approximation, the decay properties of the error [ [ f - fN[ILp are related to
the smoothness properties of f, but the corresponding smoothness classes
are now associated with an Lq metric with q < p. Similar ideas apply to the
wavelet discretization of partial differential and integral operators: sparse
approximations can be obtained by simple thresholding procedures applied
to the matrix entries. Nonlinear approximation also allows one to draw a
first comparison between wavelets and adaptive mesh refinement from the
point of view of approximation theory. We next discuss the relation be-
tween these results and adaptive algorithms for PDE's. In the context of
numerically solving PDE's a specific difficulty is that one does not know in
advance which are the largest coefficients the solution. Adaptive wavelet
methods aim to track this information within the numerical solution pro-
cess. We describe the two main lines of research which have been followed
in the development of such methods since the 1990's, and we compare them
to more classical adaptive strategies. We conclude by pointing out some in-
trinsic shortcomings and remaining challenges in adaptive wavelet methods.

Among the basic references that have influenced the present book, let
us mention the two well-known monographs on wavelets by DAUBECHIES
[1992] and MEYER [1990], as well as the survey papers by DAHMEN [1997]
and DEVORE [1998].
Beside these important references, it goes without saying that many of
the results which are presented here have appeared in publications by nu-
merous mathematicians. Most of the time, however, their formulation has
been revisited for consistency purpose. We also have chosen to avoid "min-
imal" or general assumptions in the statement of some of these results, in
the cases where these assumptions make the proof more complex without
being really useful to numerical applications. In each chapter, several re-
marks and the last section aim to present an historical account of these
contributions, and to give "pointers" toward related theoretical results and
algorithmic techniques. The author is aware of the rapid evolution of the
subject and of its multiple connexions with other scientific areas. He has
xvi INTRODUCTION

tried to mention the most significant contributions in the context of numeri-

cal analysis, together with the constraint of keeping this book self-contained
and of reasonable size.
Notations

We list below symbols that appear frequently throughout the book. If not
below, their definitions appear at the first place where they are introduced.

Spaces
C'~(gt) (integer m)" Spaces of m-times continuously differentiable functions
CS(f~) (non-integer s > 0)" HSlder spaces
Lp (~): Lebesgue spaces
Wm,P(ft) 9Sobolev spaces (H 8 "- W 8'2)
B P,q
8 (gt)" Besov spaces
IIn" pol[nomials of total degree n
Vj and Vj" primal and dual multiresolution spaces at scale j.
Wj and Wj" primal and dual detail (or wavelet) spaces at scale j.

Functions
fj,k "-- 2dj/2f(2 j" -k)" L2-scaling of f defined on IRd.
Cj,~ and Cj, k: primal and dual wavelets of resolution 2 -j.
~j,k and ~j,k" primal and dual scaling functions of resolution 2-J.
~ and ~5~ for A E Fj" compact notations for the primal and dual scaling
functions of resolution 2 -j.
r and r for A E V j: compact notations for the primal and dual wavelets
of resolution 2-J.
[)~[" resolution level of the index A ( [ A I - J if A e Fj or )~ e Vj)
V "- Uj>_l V j with V-1 - F0" set of all wavelet indices.
V g " - - [..J-I~_j,<JVj" set of all wavelet indices up to level J - 1.

r and r for ~ E V" primal and dual wavelets at all scales, including
scaling functions at the coarsest level.
(f, g)" duality product (f f~ if f e L p and g e L p', lip + l i p ' - 1).

Operators
Pj, Pj, Qj, Qj" projectors onto Vj, Vj, Wj, Wj.
.~

XV11
xviii NOTATIONS

A*: dual of the operator A.

.T'f(w) - ](co)'- fRd f(x) e-iW'~dx: Fourier transform of f.

Sets
# E (or IE[): cardinality of a finite set E.
meas(E) (or ]El): Lebesgue's measure of a domain E C ]Rd.
diam(E): diameter of a domain E C ]Rd.
dist(A, B) = infxeA,~eB Ix -- y[: distance between the sets A and B.
Supp(f): support of the function f.

Equivalences
If A(u) and B(u) are positive functions of a set u of parameters, we shall
often use the notation
A(u) ~ S(u),
to express that there exists a constant C > 0 such that A(u) < CB(u)
independently of the parameters. For example ]]Pjf]] ~ ]If I[ means that
the operator Pj is bounded independently of j. We also use the notation

A(u) ,.., B(u),

to express that A(u) ~ B(u) and B(u) ~ A(u).
Chapter 1

Basic examples

1.1 Introduction
Before entering the general theory of multiscale decompositions, we shall
study two basic examples and show their potential range of applications in
numerical analysis as well as their inherent limitations. Our goal is to iden-
tify some important features that will be studied with more details, in the
general theory developed in the next chapters. This chapter is descriptive
in essence and some of its results are quoted without a detailed proof when
they are particular cases of theorems that are proved in the next chapters.
In the two examples that we want to study, the approximation fj of a
univariate function f at the scale 2-J will respectively be piecewise constant
and piecewise affine on dyadic intervals

/j,k "-- [k2 -1, (k + 1)2 -j[, k e Z. (1.1.1)

In w and w we introduce these approximations and we show how they

are related to decompositions in two elementary wavelet bases: the Hmur
system and the Schauder hierarchical basis. We describe the decomposition
and reconstruction algorithms that can be used to compute the coefficients
of a function in these bases, and we show in w how these decompositions
can be generalized in a natural way to functions of several variables.
Applications of these elementary tools to numerical analysis are dis-
cussed in the next sections: in w we discuss the application of the Ha,ur
and Schauder bases to adaptive approximation of functions. The main idea
is that a simple thresholding procedure on the coefficients of a function f
in these bases amounts to building an adaptive grid for the discretization of
this function. A similar thresholding procedure is applied to sparsify cer-
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NOTES:
[1] Ce poème, avec texte, traduction et notes, va
être publié en 2 vol. in-12, grand papier, chez
Techener, Libraire, 12, place du Louvre. Paris.

[2] Louis IV d'Outre-mer.

[3] Ici se trouve une lacune dans le roman, une

page ou deux ayant été malheureusement tout-à-
fait lacérées. Il est à présumer qu'elle contenait le
refus formel et la réponse énergique d'Alaïs,
indignée de la conduite du roi qui, en faveur de
Gibouin, venait de ravir l'héritage de son enfant;
car il est dit plus loin qu'elle n'aurait pas épousé ce
dernier, eût-elle été sûre d'avoir les membres
coupés. Les évènements qui suivent font présumer
que le roi a définitivement accordé le fief à
Gibouin le manceau, à cause du refus de la
comtesse Alaïs.

[4] Sor en langue romane signifie roux.

[5] Ici encore existe une petite lacune.

[6] Sorte de carrousel.

[7] Vin dans lequel il entrait, outre le miel, des

épices et des aromates d'Asie. Servir le piment ou
l'hypocras au prince était alors une grande marque
d'honneur.
[8] Origni Sainte-Benoîte, Oriniacum, Aurigniacum,
bourg du département de l'Aisne, arrondissement
de Saint-Quentin, est situé sur l'Oise, entre Guise
et Ribemont. Une abbaye de bénédictines y fut
fondée vers le milieu du IX.e siècle, sous
l'invocation de sainte Benoîte, qui passe pour avoir
été martyrisée en ce lieu en l'an 362.—L'incendie
dont il est ici question est historique. Voyez Mém.
du Vermandois. par D. Colliete.

[9] Loys IV, d'outremer.

[10] Aujourd'hui la ville d'Albert en Picardie.

[11] C'est le nom donné, dans toutes les

productions littéraires du moyen-âge, au soldat qui
perça de sa lance le corps de Jésus-Christ.

[12] Philippe Mouskes. II. introd. CCLXX.

[13] F. J. Mone—Untersuchungen zur Geschichte

der deutschen Heldensage.

[14]Leroux de Lincy. Analyse raisonnée du roman

de Garin-le-Lohérain. Paris, Techener.

[15] Belin, en Gascogne, près de Bordeaux.

[16] M. de Reiffenberg a donné une curieuse

nomenclature des coursiers merveilleux,
mentionnés dans les romans de chevalerie.
Philippe Mouskes. II. Introd. CXI.

[17]Liétris ou Leudric était abbé de Saint-Amand,

en Pevele, dans le milieu du X.e siècle.
[18] Il est difficile de dire quel est ce Thierri des
Monts d'Auxois, à qui le poète attribue la fondation
de l'abbaye de Gorze, laquelle, suivant l'opinion
commune, doit son origine à Chrodegang, évêque
de Metz, mort en 766.
 Corrections.

La premiere ligne indique l'original, la seconde la correction:

p. 123

cachez pas; car, par ma harbe, je le saurai

cachez pas; car, par ma barbe, je le saurai

p. 154

Tous les bourgeois et bougeoises du château

Tous les bourgeois et bourgeoises du château
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