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

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. For separable covariance functions, the results are exact, and non-separable covariance functions can be approximated through sums of separable components. Speedup factor is 1e+8, problem sizes 1.5e+13 and 2e+15 estimation points for Kriging and spatial design.