# HLIBCov: Parallel Hierarchical Matrix Approximation of Large Covariance Matrices and Likelihoods with Applications in Parameter Identification

- Handle URI:
- http://hdl.handle.net/10754/626500
- Title:
- HLIBCov: Parallel Hierarchical Matrix Approximation of Large Covariance Matrices and Likelihoods with Applications in Parameter Identification
- Authors:
- Abstract:
- The main goal of this article is to introduce the parallel hierarchical matrix library HLIBpro to the statistical community. We describe the HLIBCov package, which is an extension of the HLIBpro library for approximating large covariance matrices and maximizing likelihood functions. We show that an approximate Cholesky factorization of a dense matrix of size $2M\times 2M$ can be computed on a modern multi-core desktop in few minutes. Further, HLIBCov is used for estimating the unknown parameters such as the covariance length, variance and smoothness parameter of a Mat\'ern covariance function by maximizing the joint Gaussian log-likelihood function. The computational bottleneck here is expensive linear algebra arithmetics due to large and dense covariance matrices. Therefore covariance matrices are approximated in the hierarchical ($\mathcal{H}$-) matrix format with computational cost $\mathcal{O}(k^2n \log^2 n/p)$ and storage $\mathcal{O}(kn \log n)$, where the rank $k$ is a small integer (typically $k<25$), $p$ the number of cores and $n$ the number of locations on a fairly general mesh. We demonstrate a synthetic example, where the true values of known parameters are known. For reproducibility we provide the C++ code, the documentation, and the synthetic data.
- KAUST Department:
- Publisher:
- Issue Date:
- 24-Sep-2017
- ARXIV:
- arXiv:1709.08625
- Type:
- Preprint
- Additional Links:
- http://arxiv.org/abs/1709.08625v1; http://arxiv.org/pdf/1709.08625v1

- Appears in Collections:
- Other/General Submission; Other/General Submission; Computer, Electrical and Mathematical Sciences and Engineering (CEMSE) Division

# Full metadata record

DC Field | Value | Language |
---|---|---|

dc.contributor.author | Litvinenko, Alexander | en |

dc.date.accessioned | 2017-12-28T07:32:13Z | - |

dc.date.available | 2017-12-28T07:32:13Z | - |

dc.date.issued | 2017-09-24 | en |

dc.identifier.uri | http://hdl.handle.net/10754/626500 | - |

dc.description.abstract | The main goal of this article is to introduce the parallel hierarchical matrix library HLIBpro to the statistical community. We describe the HLIBCov package, which is an extension of the HLIBpro library for approximating large covariance matrices and maximizing likelihood functions. We show that an approximate Cholesky factorization of a dense matrix of size $2M\times 2M$ can be computed on a modern multi-core desktop in few minutes. Further, HLIBCov is used for estimating the unknown parameters such as the covariance length, variance and smoothness parameter of a Mat\'ern covariance function by maximizing the joint Gaussian log-likelihood function. The computational bottleneck here is expensive linear algebra arithmetics due to large and dense covariance matrices. Therefore covariance matrices are approximated in the hierarchical ($\mathcal{H}$-) matrix format with computational cost $\mathcal{O}(k^2n \log^2 n/p)$ and storage $\mathcal{O}(kn \log n)$, where the rank $k$ is a small integer (typically $k<25$), $p$ the number of cores and $n$ the number of locations on a fairly general mesh. We demonstrate a synthetic example, where the true values of known parameters are known. For reproducibility we provide the C++ code, the documentation, and the synthetic data. | en |

dc.publisher | arXiv | en |

dc.relation.url | http://arxiv.org/abs/1709.08625v1 | en |

dc.relation.url | http://arxiv.org/pdf/1709.08625v1 | en |

dc.rights | Archived with thanks to arXiv | en |

dc.title | en | |

dc.type | Preprint | en |

dc.contributor.department | Computer, Electrical and Mathematical Sciences and Engineering (CEMSE) Division | en |

dc.eprint.version | Pre-print | en |

dc.identifier.arxivid | arXiv:1709.08625 | en |

kaust.author | Litvinenko, Alexander | en |

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