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Abstract The method of kinematic synthesis requires finding the solution set of a system of polynomials. Parameter homotopy continuation is used to solve these systems and requires repeatedly solving systems of linear equations. For kinematic synthesis, the associated linear systems become ill-conditioned, resulting in a marked decrease in the number of solutions found due to path tracking failures. This unavoidable ill-conditioning places a premium on accurate function and matrix evaluations. Traditionally, variables are eliminated to reduce the dimension of the problem. However, this greatly increases the computational cost of evaluating the resulting functions and matrices and introduces numerical instability. We propose avoiding the elimination of variables to reduce required computations, increasing the dimension of the linear systems, but resulting in matrices that are quite sparse. We then solve these systems with sparse solvers to save memory and increase speed. We found that this combination resulted in a speedup of up to 250 × over traditional methods while maintaining the same accuracy.
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Spatial best linear unbiased prediction: a computational mathematics approach for high dimensional massive datasets
With the advent of massive data sets much of the computational science and engineering community has moved toward data-intensive approaches in regression and classification. However, these present significant challenges due to increasing size, complexity and dimensionality of the problems. In particular, covariance matrices in many cases are numerically unstable and linear algebra shows that often such matrices cannot be inverted accurately on a finite precision computer. A common ad hoc approach to stabilizing a matrix is application of a so-called nugget. However, this can change the model and introduce error to the original solution. It is well known from numerical analysis that ill-conditioned matrices cannot be accurately inverted. In this paper we develop a multilevel computational method that scales well with the number of observations and dimensions. A multilevel basis is constructed adapted to a kD-tree partitioning of the observations. Numerically unstable covariance matrices with large condition numbers can be transformed into well conditioned multilevel ones without compromising accuracy. Moreover, it is shown that the multilevel prediction exactly solves the Best Linear Unbiased Predictor (BLUP) and Generalized Least Squares (GLS) model, but is numerically stable. The multilevel method is tested on numerically unstable problems of up to 25 dimensions. Numerical results show speedups of up to 42,050 times for solving the BLUP problem, but with the same accuracy as the traditional iterative approach. For very ill-conditioned cases the speedup is infinite. In addition, decay estimates of the multilevel covariance matrices are derived based on high dimensional interpolation techniques from the field of numerical analysis. This work lies at the intersection of statistics, uncertainty quantification, high performance computing and computational applied mathematics.
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- Award ID(s):
- 2319011
- PAR ID:
- 10515984
- Publisher / Repository:
- Springer
- Date Published:
- Journal Name:
- Advances in Computational Mathematics
- Volume:
- 50
- Issue:
- 3
- ISSN:
- 1019-7168
- Subject(s) / Keyword(s):
- Hierarchical Basis, Best Linear Unbiased Prediction, High Performance Computing, Uncertainty Quantification
- Format(s):
- Medium: X
- Sponsoring Org:
- National Science Foundation
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- Free Publicly Accessible Full Text
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Accepted Manuscript1.0
- Journal Article:
- https://doi.org/10.1007/s10444-024-10132-9
