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A Christoffel-like function for high-dimensional support ...
Jean-Bernard Lasserre, Lucas Slot · 2024-09-24 · via math.ST updates on arXiv.org

Christoffel polynomials are classical tools from approximation theory. They can be used to estimate the (compact) support of a measure $μ$ on $\mathbb{R}^d$ based on its low-degree moments. Recently, they have been applied to problems in data science, including outlier detection and support inference. A major downside of Christoffel polynomials in such applications is the fact that, in order to compute their coefficients, one must invert a moment matrix whose size grows rapidly with the dimension $d$. In this paper, we propose a modification of the Christoffel polynomial which is significantly cheaper to compute, but retains many of its desirable properties. In particular, it (1) exhibits a so-called support dichotomy and (2) it is a rational function, whose numerator and denominator factor into `lower-dimensional' Christoffel polynomials whose coefficients can be computed by inverting potentially much smaller moment matrices. Our approach relies on sparsity of the underlying measure $μ$, described by a graphical model. The complexity of our modification depends on the treewidth of this model.