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Spatio-temporal filtering is a common and challenging task in many environmental applications, where the evolution is often nonlinear and the dimension of the spatial state may be very high. We propose a scalable filtering approach based on a hierarchical sparse Cholesky representation of the filtering covariance matrix. At each time point, we compress the sparse Cholesky factor into a dense matrix with a small number of columns. After applying the evolution to each of these columns, we decompress to obtain a hierarchical sparse Cholesky factor of the forecast covariance, which can then be updated based on newly available data. We illustrate the Cholesky evolution via an equivalent representation in terms of spatial basis functions. We also demonstrate the advantage of our method in numerical comparisons, including using a high-dimensional and nonlinear Lorenz model.
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Hierarchical sparse Cholesky decomposition with applications to high-dimensional spatio-temporal filtering
Abstract Spatial statistics often involves Cholesky decomposition of covariance matrices. To ensure scalability to high dimensions, several recent approximations have assumed a sparse Cholesky factor of the precision matrix. We propose a hierarchical Vecchia approximation, whose conditional-independence assumptions imply sparsity in the Cholesky factors of both the precision and the covariance matrix. This remarkable property is crucial for applications to high-dimensional spatiotemporal filtering. We present a fast and simple algorithm to compute our hierarchical Vecchia approximation, and we provide extensions to nonlinear data assimilation with non-Gaussian data based on the Laplace approximation. In several numerical comparisons, including a filtering analysis of satellite data, our methods strongly outperformed alternative approaches.
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- PAR ID:
- 10363360
- Publisher / Repository:
- Springer Science + Business Media
- Date Published:
- Journal Name:
- Statistics and Computing
- Volume:
- 32
- Issue:
- 1
- ISSN:
- 0960-3174
- Format(s):
- Medium: X
- Sponsoring Org:
- National Science Foundation
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