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Title: High-Dimensional Nonlinear Spatio-Temporal Filtering by Compressing Hierarchical Sparse Cholesky Factors
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.  more » « less
Award ID(s):
1654083 1953005
NSF-PAR ID:
10425744
Author(s) / Creator(s):
;
Date Published:
Journal Name:
Journal of Data Science
ISSN:
1680-743X
Page Range / eLocation ID:
461 to 474
Format(s):
Medium: X
Sponsoring Org:
National Science Foundation
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