Multilevel approximation of Gaussian random fields: Covariance compression, estimation and spatial prediction

TL;DR

This paper develops multilevel methods for approximating Gaussian random fields, focusing on covariance compression, estimation, and spatial prediction, achieving near-optimal complexity and sparsity in high-dimensional settings.

Contribution

It introduces a novel tapering strategy for sparse approximation of covariance and precision matrices, and develops efficient algorithms for covariance estimation and kriging with near-optimal complexity.

Findings

Asymptotically linear number of nonzero entries suffices for accurate approximation.

Proposed algorithms scale log-linearly with the number of parameters.

Tapered matrices can be optimally diagonally preconditioned.

Abstract

Centered Gaussian random fields (GRFs) indexed by compacta such as smooth, bounded Euclidean domains or smooth, compact and orientable manifolds are determined by their covariance operators. We consider centered GRFs given as variational solutions to coloring operator equations driven by spatial white noise, with an elliptic self-adjoint pseudodifferential coloring operator from the H\"ormander class. This includes the Mat\'ern class of GRFs as a special case. Using biorthogonal multiresolution analyses on the manifold, we prove that the precision and covariance operators, respectively, may be identified with bi-infinite matrices and finite sections may be diagonally preconditioned rendering the condition number independent of the dimension $p$ of this section. We prove that a tapering strategy by thresholding applied on finite sections of the bi-infinite precision and covariance matrices results in optimally numerically sparse approximations. That is, asymptotically only linearly many nonzero matrix entries are sufficient to approximate the original section of the bi-infinite covariance or precision matrix using this tapering strategy to arbitrary precision. The locations of these nonzero matrix entries are known a priori. The tapered covariance or precision matrices may also be optimally diagonally preconditioned. Analysis of the relative size of the entries of the tapered covariance matrices motivates novel, multilevel Monte Carlo (MLMC) oracles for covariance estimation, in sample complexity that scales log-linearly with respect to the number $p$ of parameters. In addition, we propose and analyze a novel compressive algorithm for simulating and kriging of GRFs. The complexity (work and memory vs. accuracy) of these three algorithms scales near-optimally in terms of the number of parameters $p$ of the sample-wise approximation of the GRF in Sobolev scales.