On the condition number of covariance matrices in kriging, estimation, and simulation of random fields

The numerical stability of linear systems arising in kriging, estimation, and simulation of random fields, is studied analytically and numerically. In the state-space formulation of kriging, as developed here, the stability of the kriging system depends on the condition number of the prior, stationary covariance matrix. The same is true for conditional random field generation by the superposition method, which is based on kriging, and the multivariate Gaussian method, which requires factoring a covariance matrix. A large condition number corresponds to an ill-conditioned, numerically unstable system. In the case of stationary covariance matrices and uniform grids, as occurs in kriging of uniformly sampled data, the degree of ill-conditioning generally increases indefinitely with sampling density and, to a limit, with domain size. The precise behavior is, however, highly sensitive to the underlying covariance model. Detailed analytical and numerical results are given for five one-dimensional covariance models: (1) hole-exponential, (2) exponential, (3) linear-exponential, (4) hole-Gaussian, and (5) Gaussian. This list reflects an approximate ranking of the models, from best to worst conditioned. The methods developed in this work can be used to analyze other covariance models. Examples of such representative analyses, conducted in this work, include the spherical and periodic hole-effect (hole-sinusoidal) covariance models. The effect of small-scale variability (nugget) is addressed and extensions to irregular sampling schemes and higher dimensional spaces are discussed.     

Compactly supported radial covariance functions

The Least-squares collocation (LSC) method is commonly used in geodesy, but generally associated with globally supported covariance functions, i.e. with dense covariance matrices. We consider locally supported radial covariance functions, which yield sparse covariance matrices. Having many zero entries in the covariance matrice can both greatly reduce computer storage requirements and the number of floating point operations needed in computation. This paper reviews some of the most well-known compactly supported radial covariance functions (CSRCFs) that can be easily substituted to the usually used covariance functions. Numerical experiments reveals that these finite covariance functions can give good approximations of the Gaussian, second- and third-order Markov models. Then, interpolation of KMS02 free-air gravity anomalies in Azores Islands shows that dense covariance matrices associated with Gaussian model can be replaced by sparse matrices from CSRCFs resulting in memory savings of one-fortieth and with 90% of the solution error less than 0.5 mGal. This article is dedicated to Cerbère.     

Kalman滤波在变形监测数据处理中的应用

卡尔曼滤波通过建立状态方程和观测方程来描述系统的动态过程,依据滤波增益矩阵的变化,从测量数据中定量提取有效信息,修正状态参量,利用已有的信息对动态噪声方差阵进行实时估计,从而补偿噪声对数据的影响,有效地提高数据精度。通过用Kalman滤波对郑州某地高层建筑变形监测数据的处理与预测分析,并同多项式拟合方法比较,表明Kalman滤波在处理变形监测数据时具有实时快速、精度高的特点。     

Dynamic responses of a pile embedded in a layered poroelastic half‐space to harmonic lateral loads

A single pile embedded in a layered poroelastic half‐space subjected to a harmonic lateral load is investigated in this study. Based on Biot's theory, the frequency domain fundamental solution for a horizontal circular patch load applied in the layered poroelastic half‐space is derived via the transmission and reflection matrices method. Utilizing Muki and Sternberg's method, the second kind of Fredholm integral equation describing the dynamic interaction between the layered half‐space and the pile subjected to a top harmonic lateral load is constructed. The proposed methodology is validated by comparing results of this paper with some existing results. Numerical results show that for a two‐layered half‐space, the thickness of the upper softer layer has pronounced influences on the dynamic response of the pile and the half‐space. For a three‐layered half‐space, the presence of a softer middle layer in the layered half‐space will enhance the compliance for the pile significantly, while a stiffer middle layer will diminish the dynamic compliance of the pile considerably. Copyright © 2009 John Wiley & Sons, Ltd.     

关于奇异线性模型最好线性无偏估计的计算

讨论了奇异线性模型最好线性无偏估计(BLUE)的计算问题。利用分块求逆的技术，给出BLUE的一种新的表达式，其计算量比直接利用C．R．Rao所给公式的小。对新表达式的计算，给出半正定矩阵广义逆的分块求逆算法及消去变换算法。     

基于散射机制分解的ESPRIT植被高度反演新方法

ERPRIT算法估计的地表散射相位由于易受到森林去极化成分的影响而出现较大的偏差,从而导致植被高度反演结果严重偏低.针对这一问题,本文提出一种基于散射机制分解的ESPRIT植被高度反演算法.该算法关键点是利用Freeman分解理论和极化干涉互协方差矩阵估计得到更加准确的地表散射相位,以替代ESPRIT算法估计的地表散射相位,进而改善植被高度反演的精度.最后,分别利用欧空局（ESA）免费发布的PolSARpro软件模拟L波段极化干涉合成孔径雷达数据和PALSAR真实星载数据验证改进算法的有效性.     

Gibbs sampler for computing and propagating large covariance matrices

The use of sampling-based Monte Carlo methods for the computation and propagation of large covariance matrices in geodetic applications is investigated. In particular, the so-called Gibbs sampler, and its use in deriving covariance matrices by Monte Carlo integration, and in linear and nonlinear error propagation studies, is discussed. Modifications of this technique are given which improve in efficiency in situations where estimated parameters are highly correlated and normal matrices appear as ill-conditioned. This is a situation frequently encountered in satellite gravity field modelling. A synthetic experiment, where covariance matrices for spherical harmonic coefficients are estimated and propagated to geoid height covariance matrices, is described. In this case, the generated samples correspond to random realizations of errors of a gravity field model. AcknowledgementsThe authors are indebted to Pieter Visser and Pavel Ditmar for providing simulation output that was used in the GOCE error generation experiments. Furthermore, the NASA/NIMA/OSU team is acknowledged for providing public ftp access to the EGM96 error covariance matrix. The two anonymous reviewers are thanked for their valuable comments.     

Chi-square tests for markov chain analysis

Markov chain analysis has become a popular and useful technique for the evaluation of stratigraphic information. Field data on frequencies of facies transitions are first assembled in a transition count matrix. Observed frequencies can be compared statistically with frequencies expected if no order, or memory, exists in the stratigraphic sequence. Two chi-square (²) tests have been proposed for this purpose. One of the previously proposed ² tests was observed to give anomalously large values of the test statistic during another study. This unsatisfactory behavior is verified here. Limiting values of the two ² tests (from tables) are compared with the distribution of values for both test statistics obtained by analyzing many random matrices generated by a simple computer program. In all cases, the logarithmic ² test, suggested by several previous authors, fails to provide any meaningful assessment of the presence or absence of order in stratigraphic sequences evaluated. Further use of this test should therefore be avoided.     

球坐标下数值流形方法有限单元覆盖的单元矩阵表达式

为将数值流形方法从平面扩展到球面,推导了球面上数值流形方法的有限单元覆盖的应变矩阵及刚度矩阵、初应力矩阵、点荷载矩阵、体荷载矩阵、惯性力矩阵和固定点矩阵的具体公式。