Kriging accelerated by orders of magnitude: combining low-rank with FFT techniques

Handle URI:
http://hdl.handle.net/10754/623990
Title:
Kriging accelerated by orders of magnitude: combining low-rank with FFT techniques
Authors:
Litvinenko, Alexander ( 0000-0001-5427-3598 ) ; Nowak, Wolfgang
Abstract:
Kriging algorithms based on FFT, the separability of certain covariance functions and low-rank representations of covariance functions have been investigated. The current study combines these ideas, and so combines the individual speedup factors of all ideas. The reduced computational complexity is O(dLlogL), where L := max ini, i = 1..d. For separable covariance functions, the results are exact, and non-separable covariance functions can be approximated through sums of separable components. Speedup factor is 10 8, problem sizes 15e + 12 and 2e + 15 estimation points for Kriging and spatial design.
KAUST Department:
Computer, Electrical and Mathematical Sciences & Engineering (CEMSE)
Conference/Event name:
Advances in Uncertainty Quantification Methods, Algorithms and Applications (UQAW 2014)
Issue Date:
6-Jan-2014
Type:
Poster
Appears in Collections:
Posters; Conference on Advances in Uncertainty Quantification Methods, Algorithms and Applications (UQAW 2014)

Full metadata record

DC FieldValue Language
dc.contributor.authorLitvinenko, Alexanderen
dc.contributor.authorNowak, Wolfgangen
dc.date.accessioned2017-06-01T10:20:42Z-
dc.date.available2017-06-01T10:20:42Z-
dc.date.issued2014-01-06-
dc.identifier.urihttp://hdl.handle.net/10754/623990-
dc.description.abstractKriging algorithms based on FFT, the separability of certain covariance functions and low-rank representations of covariance functions have been investigated. The current study combines these ideas, and so combines the individual speedup factors of all ideas. The reduced computational complexity is O(dLlogL), where L := max ini, i = 1..d. For separable covariance functions, the results are exact, and non-separable covariance functions can be approximated through sums of separable components. Speedup factor is 10 8, problem sizes 15e + 12 and 2e + 15 estimation points for Kriging and spatial design.en
dc.subjectLow-Ranken
dc.titleKriging accelerated by orders of magnitude: combining low-rank with FFT techniquesen
dc.typePosteren
dc.contributor.departmentComputer, Electrical and Mathematical Sciences & Engineering (CEMSE)en
dc.conference.dateJanuary 6-10, 2014en
dc.conference.nameAdvances in Uncertainty Quantification Methods, Algorithms and Applications (UQAW 2014)en
dc.conference.locationKAUSTen
dc.contributor.institutionUniversit├Ąt Stuttgarten
kaust.authorLitvinenko, Alexanderen
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