A Stieltjes algorithm for generating multivariate orthogonal polynomials
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Orthogonal polynomials of several variables have a vector-valued three-term recurrence relation, much like the corresponding one-dimensional relation. This relation requires only knowledge of certain recurrence matrices, and allows simple and stable evaluation of multivariate orthogonal polynomials. In the univariate case, various algorithms can evaluate the recurrence coefficients given the ability to compute polynomial moments, but such a procedure is absent in multiple dimensions. We present a new Multivariate Stieltjes (MS) algorithm that fills this gap in the multivariate case, allowing computation of recurrence matrices assuming moments are available. The algorithm is essentially explicit in two and three dimensions, but requires the numerical solution to a non-convex problem in more than three dimensions. Compared to direct Gram-Schmidt-type orthogonalization, we demonstrate on several examples in up to three dimensions that the MS algorithm is far more stable, and allows accurate computation of orthogonal bases in the multivariate setting, in contrast to direct orthogonalization approaches.
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