Bayesian quadrature for $H^1(μ)$ with Poincaré inequality on a compact interval

Motivated by uncertainty quantification of complex systems, we aim at finding quadrature formulas of the form $\int_a^b f(x) dμ(x) = \sum_{i=1}^n w_i f(x_i)$ where $f$ belongs to $H^1(μ)$. Here, $μ$ belongs to a class of continuous probability distributions on $[a, b] \subset \mathbb{R}$ and $\sum_{i=1}^n w_i δ_{x_i}$ is a discrete probability distribution on $[a, b]$. We show that $H^1(μ)$ is a reproducing kernel Hilbert space with a continuous kernel $K$, which allows to reformulate the quadrature question as a Bayesian (or kernel) quadrature problem. Although $K$ has not an easy closed form in general, we establish a correspondence between its spectral decomposition and the one associated to Poincaré inequalities, whose common eigenfunctions form a $T$-system (Karlin and Studden, 1966). The quadrature problem can then be solved in the finite-dimensional proxy space spanned by the first eigenfunctions. The solution is given by a generalized Gaussian quadrature, which we call Poincaré quadrature. We derive several results for the Poincaré quadrature weights and the associated worst-case error. When $μ$ is the uniform distribution, the results are explicit: the Poincaré quadrature is equivalent to the midpoint (rectangle) quadrature rule. Its nodes coincide with the zeros of an eigenfunction and the worst-case error scales as $\frac{b-a}{2\sqrt{3}}n^{-1}$ for large $n$. By comparison with known results for $H^1(0,1)$, this shows that the Poincaré quadrature is asymptotically optimal. For a general $μ$, we provide an efficient numerical procedure, based on finite elements and linear programming. Numerical experiments provide useful insights: nodes are nearly evenly spaced, weights are close to the probability density at nodes, and the worst-case error is approximately $O(n^{-1})$ for large $n$.

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