On the sample complexity of the active subspace method

RESUMO

Active subspaces identify low-dimensional linear structure in high-dimensional parameter-to-output maps by estimating the dominant eigenspace of a gradient covariance operator. In practice this covariance is replaced by a Monte Carlo estimator built from a limited number of gradient evaluations. Classical analyses based on controlling the covariance error in operator norm lead to sample-complexity estimates that can be substantially more pessimistic than the sampling rules commonly used in computations. This paper studies the empirical active subspace method directly in the projection-error metric relevant for ridge approximation. We derive non-asymptotic quasi-optimality bounds governed by a regularized inverse Christoffel function associated with the gradient field. Under a bounded-gradient assumption, the resulting estimates already improve the sample-complexity estimates obtained from operator-norm covariance bounds. We then show that additional smoothness of the gradient map, expressed through membership in a reproducing kernel Hilbert space, yields sharper coherence estimates and motivates tractable importance sampling from kernel diagonal measures. Furthermore, the same smoothness assumption yields a priori decay bounds for the population active subspace tail energy, which can be combined with our finite-sample estimate to prescribe rank, regularization scale, and sample size, allowing to fully characterize the a priori sample complexity. The abstract assumptions are verified for lognormal Gaussian and affine uniform parametric elliptic PDEs using weighted summability of Hermite and Legendre series expansions.