Compression, inversion, and approximate PCA of dense kernel matrices at near-linear computational complexity

DOI10.48550/arXiv.1706.02205zbMath1461.65067arXiv1706.02205OpenAlexW3156927273MaRDI QIDQ92247

T. J. Sullivan, Florian Schäfer, Houman Owhadi, Houman Owhadi, Florian Schäfer, Tim Sullivan

Publication date: 7 June 2017

Published in: Multiscale Modeling & Simulation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1706.02205

zbMATH Keywords

principal component analysiscovariance functionCholesky factorizationsparsitykernel matrixgamblet transform

Mathematics Subject Classification ID

Related Items (27)

Numerical homogenization beyond scale separation ⋮ Solving and learning nonlinear PDEs with Gaussian processes ⋮ Scaled Vecchia Approximation for Fast Computer-Model Emulation ⋮ GParareal: a time-parallel ODE solver using Gaussian process emulation ⋮ Bayesian nonstationary and nonparametric covariance estimation for large spatial data (with discussion) ⋮ Gaussian process hydrodynamics ⋮ Sparse Recovery of Elliptic Solvers from Matrix-Vector Products ⋮ Fast macroscopic forcing method ⋮ Kernel methods are competitive for operator learning ⋮ Learning elliptic partial differential equations with randomized linear algebra ⋮ Multiresolution operator decomposition for flow simulation in fractured porous media ⋮ A Fast Hierarchically Preconditioned Eigensolver Based on Multiresolution Matrix Decomposition ⋮ Gamblets for opening the complexity-bottleneck of implicit schemes for hyperbolic and parabolic ODEs/PDEs with rough coefficients ⋮ Continuous relaxations for the traveling salesman problem ⋮ De-noising by thresholding operator adapted wavelets ⋮ Symmetry exploits for Bayesian cubature methods ⋮ A modern retrospective on probabilistic numerics ⋮ Coarsening in algebraic multigrid using Gaussian processes ⋮ Bayesian numerical methods for nonlinear partial differential equations ⋮ Fast Eigenpairs Computation with Operator Adapted Wavelets and Hierarchical Subspace Correction ⋮ Sparse Cholesky Factorization by Kullback--Leibler Minimization ⋮ A Bayesian conjugate gradient method (with discussion) ⋮ Samplets: construction and scattered data compression ⋮ Multi-scale Vecchia approximations of Gaussian processes ⋮ GPvecchia ⋮ Do ideas have shape? Idea registration as the continuous limit of artificial neural networks ⋮ Hierarchical sparse Cholesky decomposition with applications to high-dimensional spatio-temporal filtering

Uses Software

• hlib
• SelInv
• George

Cites Work

• Unnamed Item
• Unnamed Item
• 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
• 2010 Rietz lecture: When does the screening effect hold?
• Whittle-Matérn priors for Bayesian statistical inversion with applications in electrical impedance tomography
• Correlation priors
• Efficient numerical methods for non-local operators. \(\mathcal H^2\)-matrix compression, algorithms and analysis.
• Sparse operator compression of higher-order elliptic operators with rough coefficients
• Propriétés des matrices ``bien localisées près de leur diagonale et quelques applications. (Properties of matrices ``well localized near the diagonal and some applications)
• Localization of matrix factorizations
• Hierarchical matrices. A means to efficiently solve elliptic boundary value problems
• Kernel methods in machine learning
• Approximation of solution operators of elliptic partial differential equations by \({\mathcal H}\)- and \({\mathcal H}^2\)-matrices
• The analysis of a nested dissection algorithm
• LU factorization of non-standard forms and direct multiresolution solvers
• A sparse matrix arithmetic based on \({\mathfrak H}\)-matrices. I: Introduction to \({\mathfrak H}\)-matrices
• Block red-black ordering: A new ordering strategy for parallelization of ICCG method
• Existence of \(\mathcal H\)-matrix approximants to the inverse FE-matrix of elliptic operators with \(L^\infty\)-coefficients
• Adaptive low-rank approximation of collocation matrices
• The Schur complement and its applications
• Mitigating the influence of the boundary on PDE-based covariance operators
• Data-sparse approximation by adaptive \({\mathcal H}^2\)-matrices
• Constructing continuous stationary covariances as limits of the second-order stochastic difference equations
• A sparse \({\mathcal H}\)-matrix arithmetic. II: Application to multi-dimensional problems
• Randomized matrix-free trace and log-determinant estimators
• An \(\mathcal O(N\log N)\) fast direct solver for partial hierarchically semi-separable matrices. With application to radial basis function interpolation
• Hierarchical Interpolative Factorization for Elliptic Operators: Integral Equations
• Studies in the history of probability and statistics XLIX On the Matérn correlation family
• Polyharmonic homogenization, rough polyharmonic splines and sparse super-localization
• Decay Bounds for Functions of Hermitian Matrices with Banded or Kronecker Structure
• Multigrid with Rough Coefficients and Multiresolution Operator Decomposition from Hierarchical Information Games
• Localization in Matrix Computations: Theory and Applications
• SelInv---An Algorithm for Selected Inversion of a Sparse Symmetric Matrix
• 10.1162/153244303768966085
• Fast algorithms for hierarchically semiseparable matrices
• 10.1162/15324430260185619
• An analysis of a class of variational multiscale methods based on subspace decomposition
• Localization of elliptic multiscale problems
• Fast wavelet transforms and numerical algorithms I
• Gaussian Predictive Process Models for Large Spatial Data Sets
• Decay Rates for Inverses of Band Matrices
• The Evolution of the Minimum Degree Ordering Algorithm
• Generalized Nested Dissection
• On Finding Supernodes for Sparse Matrix Computations
• An Iterative Solution Method for Linear Systems of Which the Coefficient Matrix is a Symmetric M-Matrix
• An Efficient Block-Oriented Approach to Parallel Sparse Cholesky Factorization
• Orderings for Factorized Sparse Approximate Inverse Preconditioners
• A Full Scale Approximation of Covariance Functions for Large Spatial Data Sets
• Stochastic Models That Separate Fractal Dimension and the Hurst Effect
• The Bramble--Hilbert Lemma for Convex Domains
• Numerical Homogenization of Heterogeneous Fractional Laplacians
• New Efficient and Robust HSS Cholesky Factorization of SPD Matrices
• Operator-Adapted Wavelets, Fast Solvers, and Numerical Homogenization
• A class of multi-resolution approximations for large spatial datasets
• Sparse Compression of Expected Solution Operators
• A Fast $ULV$ Decomposition Solver for Hierarchically Semiseparable Representations
• Nested Dissection of a Regular Finite Element Mesh
• Compressing Rank-Structured Matrices via Randomized Sampling
• ON STATIONARY PROCESSES IN THE PLANE
• A fast algorithm for particle simulations

This page was built for publication: Compression, inversion, and approximate PCA of dense kernel matrices at near-linear computational complexity