Mitigating the influence of the boundary on PDE-based covariance operators
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Publication:1785028
DOI10.3934/IPI.2018045zbMATH Open1401.65043arXiv1610.05280OpenAlexW2963199582MaRDI QIDQ1785028FDOQ1785028
Authors: Yair Daon, Georg Stadler 
Publication date: 27 September 2018
Published in: Inverse Problems and Imaging (Search for Journal in Brave)
Abstract: Gaussian random fields over infinite-dimensional Hilbert spaces require the definition of appropriate covariance operators. The use of elliptic PDE operators to construct covariance operators allows to build on fast PDE solvers for manipulations with the resulting covariance and precision operators. However, PDE operators require a choice of boundary conditions, and this choice can have a strong and usually undesired influence on the Gaussian random field. We propose two techniques that allow to ameliorate these boundary effects for large-scale problems. The first approach combines the elliptic PDE operator with a Robin boundary condition, where a varying Robin coefficient is computed from an optimization problem. The second approach normalizes the pointwise variance by rescaling the covariance operator. These approaches can be used individually or can be combined. We study properties of these approaches, and discuss their computational complexity. The performance of our approaches is studied for random fields defined over simple and complex two- and three-dimensional domains.
Full work available at URL: https://arxiv.org/abs/1610.05280
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Gaussian random fieldsBayesian statisticsinverse problemboundary conditionsfast PDE solvers[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=Mat%EF%BF%BD%EF%BF%BDrn+kernels&go=Go Mat��rn kernels]
Bayesian inference (62F15) Random fields; image analysis (62M40) Numerical methods for inverse problems for boundary value problems involving PDEs (65N21) Inverse problems for PDEs (35R30)
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- Compression, inversion, and approximate PCA of dense kernel matrices at near-linear computational complexity
- A Statistical Framework for Generating Microstructures of Two-Phase Random Materials: Application to Fatigue Analysis
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