Parallel Approximation of the Maximum Likelihood Estimation for the Prediction of Large-Scale Geostatistics Simulations
KAUST DepartmentExtreme Computing Research Center
Computer, Electrical and Mathematical Sciences and Engineering (CEMSE) Division
Applied Mathematics and Computational Science Program
Online Publication Date2018-11-26
Print Publication Date2018-09
Permanent link to this recordhttp://hdl.handle.net/10754/630314
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AbstractMaximum likelihood estimation is an important statistical technique for estimating missing data, for example in climate and environmental applications, which are usually large and feature data points that are irregularly spaced. In particular, the Gaussian log-likelihood function is the de facto model, which operates on the resulting sizable dense covariance matrix. The advent of high performance systems with advanced computing power and memory capacity have enabled full simulations only for rather small dimensional climate problems, solved at the machine precision accuracy. The challenge for high dimensional problems lies in the computation requirements of the log-likelihood function, which necessitates O(n2) storage and O(n3) operations, where n represents the number of given spatial locations. This prohibitive computational cost may be reduced by using approximation techniques that not only enable large-scale simulations otherwise intractable, but also maintain the accuracy and the fidelity of the spatial statistics model. In this paper, we extend the Exascale GeoStatistics software framework (i.e., ExaGeoStat1) to support the Tile Low-Rank (TLR) approximation technique, which exploits the data sparsity of the dense covariance matrix by compressing the off-diagonal tiles up to a user-defined accuracy threshold. The underlying linear algebra operations may then be carried out on this data compression format, which may ultimately reduce the arithmetic complexity of the maximum likelihood estimation and the corresponding memory footprint. Performance results of TLR-based computations on shared and distributed-memory systems attain up to 13X and 5X speedups, respectively, compared to full accuracy simulations using synthetic and real datasets (up to 2M), while ensuring adequate prediction accuracy.
CitationAbdulah S, Ltaief H, Sun Y, Genton MG, Keyes DE (2018) Parallel Approximation of the Maximum Likelihood Estimation for the Prediction of Large-Scale Geostatistics Simulations. 2018 IEEE International Conference on Cluster Computing (CLUSTER). Available: http://dx.doi.org/10.1109/CLUSTER.2018.00089.
SponsorsWe would like to thank Intel for support in the form of an Intel Parallel Computing Center award and Cray for support provided during the Center of Excellence award to the Extreme Computing Research Center at KAUST. This research made use of the resources of the KAUST Supercomputing Laboratory.
Conference/Event name2018 IEEE International Conference on Cluster Computing, CLUSTER 2018