Handle URI:
http://hdl.handle.net/10754/624057
Title:
Hierarchical matrix approximation of large covariance matrices
Authors:
Litvinenko, Alexander ( 0000-0001-5427-3598 ) ; Genton, Marc G. ( 0000-0001-6467-2998 ) ; Sun, Ying ( 0000-0001-6703-4270 ) ; Tempone, Raul ( 0000-0003-1967-4446 )
Abstract:
We approximate large non-structured covariance matrices in the H-matrix format with a log-linear computational cost and storage O(n log n). We compute inverse, Cholesky decomposition and determinant in H-format. As an example we consider the class of Matern covariance functions, which are very popular in spatial statistics, geostatistics, machine learning and image analysis. Applications are: kriging and optimal design
KAUST Department:
Computer, Electrical and Mathematical Sciences & Engineering (CEMSE)
Conference/Event name:
Advances in Uncertainty Quantification Methods, Algorithms and Applications (UQAW 2015)
Issue Date:
7-Jan-2015
Type:
Poster
Appears in Collections:
Posters; Conference on Advances in Uncertainty Quantification Methods, Algorithms and Applications (UQAW 2015)

Full metadata record

DC FieldValue Language
dc.contributor.authorLitvinenko, Alexanderen
dc.contributor.authorGenton, Marc G.en
dc.contributor.authorSun, Yingen
dc.contributor.authorTempone, Raulen
dc.date.accessioned2017-06-05T08:35:46Z-
dc.date.available2017-06-05T08:35:46Z-
dc.date.issued2015-01-07-
dc.identifier.urihttp://hdl.handle.net/10754/624057-
dc.description.abstractWe approximate large non-structured covariance matrices in the H-matrix format with a log-linear computational cost and storage O(n log n). We compute inverse, Cholesky decomposition and determinant in H-format. As an example we consider the class of Matern covariance functions, which are very popular in spatial statistics, geostatistics, machine learning and image analysis. Applications are: kriging and optimal designen
dc.titleHierarchical matrix approximation of large covariance matricesen
dc.typePosteren
dc.contributor.departmentComputer, Electrical and Mathematical Sciences & Engineering (CEMSE)en
dc.conference.dateJanuary 6-9, 2015en
dc.conference.nameAdvances in Uncertainty Quantification Methods, Algorithms and Applications (UQAW 2015)en
dc.conference.locationKAUSTen
kaust.authorLitvinenko, Alexanderen
kaust.authorGenton, Marc G.en
kaust.authorSun, Yingen
kaust.authorTempone, Raulen
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