Efficient Computation of Linearized Cross-Covariance and Auto-Covariance Matrices of Interdependent Quantities |
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Authors: | Wolfgang Nowak Sascha Tenkleve Olaf A. Cirpka |
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Affiliation: | (1) Institut für Wasserbau, Universität Stuttgart, Pfaffenwaldring 61, 70569 Stuttgart, Germany |
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Abstract: | In many geostatistical applications, spatially discretized unknowns are conditioned on observations that depend on the unknowns in a form that can be linearized. Conditioning takes several matrix–matrix multiplications to compute the cross-covariance matrix of the unknowns and the observations and the auto-covariance matrix of the observations. For large numbers n of discrete values of the unknown, the storage and computational costs for evaluating these matrices, proportional to n2, become strictly inhibiting. In this paper, we summarize and extend a collection of highly efficient spectral methods to compute these matrices, based on circulant embedding and the fast Fourier transform (FFT). These methods are applicable whenever the unknowns are a stationary random variable discretized on a regular equispaced grid, imposing an exploitable structure onto the auto-covariance matrix of the unknowns. Computational costs are reduced from O(n2) to O(nlog2n) and storage requirements are reduced from O(n2) to O(n). |
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Keywords: | Toeplitz circulant embedding spectral FFT convolution |
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