Scalable Physics-Based Maximum Likelihood Estimation Using Hierarchical Matrices

DOI10.1137/21m1458880zbMath1518.62002arXiv2303.10102MaRDI QIDQ6177922

Mihai Anitescu, Yi-An Chen

Publication date: 31 August 2023

Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2303.10102

zbMATH Keywords

parameter estimationmaximum likelihood estimationGaussian processfast algorithmshierarchical matricesuncertainty quantification

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Inference from spatial processes (62M30) Point estimation (62F10) Determinants, permanents, traces, other special matrix functions (15A15) Numerical methods for low-rank matrix approximation; matrix compression (65F55)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• An Explicit Link between Gaussian Fields and Gaussian Markov Random Fields: The Stochastic Partial Differential Equation Approach
• The Rational SPDE Approach for Gaussian Random Fields With General Smoothness
• Finding structure with randomness: Probabilistic algorithms for constructing approximate matrix decompositions
• Kriging and spatial design accelerated by orders of magnitude: combining low-rank covariance approximations with FFT-techniques
• Fast construction of hierarchical matrix representation from matrix-vector multiplication
• Data-sparse approximation of non-local operators by \(\mathcal H^2\)-matrices
• A fast randomized algorithm for the approximation of matrices
• Hierarchical-block conditioning approximations for high-dimensional multivariate normal probabilities
• Optimal estimation and rank detection for sparse spiked covariance matrices
• Likelihood approximation with hierarchical matrices for large spatial datasets
• An \(\mathcal O(N\log N)\) fast direct solver for partial hierarchically semi-separable matrices. With application to radial basis function interpolation
• A Matrix-free Approach for Solving the Parametric Gaussian Process Maximum Likelihood Problem
• Hierarchical Matrices: Algorithms and Analysis
• Randomized algorithms for the low-rank approximation of matrices
• Randomized algorithms for estimating the trace of an implicit symmetric positive semi-definite matrix
• Fast algorithms for hierarchically semiseparable matrices
• Geostatistics
• A Fast Randomized Algorithm for Computing a Hierarchically Semiseparable Representation of a Matrix
• Hierarchical Decompositions for the Computation of High-Dimensional Multivariate Normal Probabilities
• Scalable Gaussian Process Computations Using Hierarchical Matrices
• Towards reconciling two asymptotic frameworks in spatial statistics
• Introduction to Automatic Differentiation and MATLAB Object-Oriented Programming
• Fixed Rank Kriging for Very Large Spatial Data Sets
• Gaussian Predictive Process Models for Large Spatial Data Sets
• Perturbation Analyses for the QR Factorization
• Fitting Gaussian Markov Random Fields to Gaussian Fields
• Spatiotemporal Hierarchical Bayesian Modeling Tropical Ocean Surface Winds
• Stochastic stability of the discrete-time extended Kalman filter
• Directional ‐matrix compression for high‐frequency problems
• Fast Spatial Gaussian Process Maximum Likelihood Estimation via Skeletonization Factorizations
• Kalman filters for non-linear systems: a comparison of performance
• Gaussian Markov Random Fields
• PHYSICS-BASED COVARIANCE MODELS FOR GAUSSIAN PROCESSES WITH MULTIPLE OUTPUTS
• Scalable Gaussian Process Analysis for Implicit Physics-Based Covariance Models
• hm-toolbox: MATLAB Software for HODLR and HSS Matrices
• Hierarchical Matrix Approximations of Hessians Arising in Inverse Problems Governed by PDEs
• Randomized GPU Algorithms for the Construction of Hierarchical Matrices from Matrix-Vector Operations
• Statistics for Spatial Data
• A Class of Methods for Solving Nonlinear Simultaneous Equations
• A Computational Framework for Infinite-Dimensional Bayesian Inverse Problems Part I: The Linearized Case, with Application to Global Seismic Inversion
• Covariance Tapering for Likelihood-Based Estimation in Large Spatial Data Sets
• Advanced Lectures on Machine Learning
• Inconsistent Estimation and Asymptotically Equal Interpolations in Model-Based Geostatistics
• Compressing Rank-Structured Matrices via Randomized Sampling
• ON STATIONARY PROCESSES IN THE PLANE

This page was built for publication: Scalable Physics-Based Maximum Likelihood Estimation Using Hierarchical Matrices