Sparse approximations of fractional Matérn fields

DOI10.1111/SJOS.12297MaRDI QIDQ4637097zbMATH OpenOpenAlexFDO

Authors Lassi Roininen, Sari Lasanen, Mikko Orispää, Simo Särkkä

Publication date 17 April 2018

Published in Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1410.2113

zbMATH Keywords

fractional order SPDEGaussian Markov random fieldsinverse problemsspatial interpolationstochastic partial differential equations

Mathematics Subject Classification ID

Fractional partial differential equations (35R11) Inverse problems for PDEs (35R30) PDEs with randomness, stochastic partial differential equations (35R60) Random fields (60G60)

Abstract: We consider a fast approximation method for a solution of a certain stochastic non-local pseudodifferential equation. This equation defines a Mat'ern class random field. The approximation method is based on the spectral compactness of the solution. We approximate the pseudodifferential operator with a Taylor expansion. By truncating the expansion, we can construct an approximation with Gaussian Markov random fields. We show that the solution of the truncated version can be constructed with an over-determined system of stochastic matrix equations with sparse matrices. We solve the system of equations with a sparse Cholesky decomposition. We consider the convergence of the discrete approximation of the solution to the continuous one. Finally numerical examples are given.

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Cited in

(5)

• The Rational SPDE Approach for Gaussian Random Fields With General Smoothness
• Fast sampling of parameterised Gaussian random fields
• The SPDE approach to Matérn fields: graph representations
• Regularity and convergence analysis in Sobolev and Hölder spaces for generalized Whittle-Matérn fields
• A Bayesian extension to FEMU for identification of spatially varying stochastic elastic properties from digital image and volume correlation measurements

Describes a project that uses

Uses Software

• SuitSparseQR
• FLIPS

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