An adaptive greedy algorithm for solving large RBF collocation problems

The solution of operator equations with radial basis functions by collocation in scattered points leads to large linear systems which often are nonsparse and ill-conditioned. But one can try to use only a subset of the data for the actual collocation, leaving the rest of the data points for error checking. This amounts to finding "sparse" approximate solutions of general linear systems arising from collocation. This contribution proposes an adaptive greedy method with proven (but slow) linear convergence to the full solution of the collocation equations. The collocation matrix need not be stored, and the progress of the method can be controlled by a variety of parameters. Some numerical examples are given.