Identification of unknown parameters and prediction with hierarchical matrices. Comparison with ML methods.

Identification of unknown parameters and prediction
with hierarchical matrices. Comparison with ML
methods.
Alexander Litvinenko1,
(joint work with V. Berikov2, M. Genton3, D. Keyes3, R.
Kriemann4, and Y. Sun3)
UNCECOMP 2021
1RWTH Aachen, Germany, 2Novosibirsk Staate University, 3KAUST, Saudi Arabia,
4MPI for Mathematics in the Sciences in Leipzig, Germany

4
*
Analysis of large datasets and prediction
Goal: analyse a large dataset
Need to use a dense cov. matrix C of size 2, 000, 000 × 2, 000, 000
3
2
4 2
9
2
4 2
17
2
2
4 2
7 3 2
18 17
10 10
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5 2
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4 2
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32
14 10
18 10
36 28
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6
2
4 2
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4 2
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4 2
14 18
14 18
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4 2
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4 2
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6 3
65
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19 21
18 18
29 29
61 61
2
5 3
7 3 2
5 2
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6 3
6 3
17 17
12 12
3 2
7
2
4 2
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12 3
2
4 2
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17 12
12 12
29 29
2
5
3 2
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2
4 2
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2
5 3
10 10
19 12
3 3 2
10
2
5 2
5 2
4 2
119
65
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10 15
10 19
27 27
54 54
118 118
2
5
3
4 2
15
2
5 3
11
3
6 3
15 17
10 10
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4 2
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4 2
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3 2
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14 10
7 7
33 27
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4 3 3 2
7 3
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4 2
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10
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5 2
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3 2
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18 16
10 10
25 34
59 59
119 118
80 119
2
4
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4 2
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4 2
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4 2
19 10
15 10
2
5
3 2
7 3 2
15
3
4 2
5 2
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15 15
16 15
32 34
3 2
4 2
4 2
15
2
4 3 2
5 2
15 16
15 16
2
5 3 2
12
3
6 3
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3 2
7 3 2
6 3
58
27
18 18
9 9
31 31
66 67
2
5
3 2
6 3
9
2
4 2
12 9
18 9
3
6 3
12
3
4 2
9
2
4 2
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12 16
12 19
27 31
3 2
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6 3
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2
5
2
4 2
6 3
16 20
8 8
2
4 2
7 3 2
7 3 2
8
2
3
115
58
30
15 8
15 8
28 28
57 57
119 119
2
5
2
4 2
2
15
2
4 2
6 3
9 9
15 15
3 3
9
2
5
3 2
7 3 2
27
9 16
9 11
30 28
3
5 2
5 2
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2
5 2
16 11
13 11
3 3 2
7 3 2
13
2
5
2
4 2
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25
5 5
17 13
23 23
58 57
2
5
2
4 2
5 2
6 3
5 8
5 15
2 3
8
3 2
2
6 3
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8 15
8 9
25 23
2
5 3
6 3
7 3 2
9
2
4 2
15 9
23 9
3
3
6 3
15
2
4 2
5 2
10
2
5 2
90
122
115
48
32
15 15
15 17
33 33
48 60
115 119
81 234
56 89
3 2
7
2
4 2
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3
4 2
7 3 2
15 17
6 6
2
5
2
5 3
11
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5 3
6 3
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11 6
19 6
30 30
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5 2
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3 2
7 3 2
5 2
11 13
11 17
2
4 2
5 2
13
3
5 2
6 3
65
30
13 17
13 17
30 30
61 60
2
4
3
6 3
5 2
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2
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2
4 2
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6 3
20 20
14 14
2
4 2
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4 2
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5 2
4 2
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17 14
15 14
29 29
2
4 2
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2
4 2
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2
5
2
5 2
10 10
17 15
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5 2
10
3
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4 2
5 2
125
75
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10 18
10 19
32 29
69 61
125 134
2
5
3 2
6 3
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3 2
6 3
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2
4 2
17 17
18 19
2
4 2
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2
4 2
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6 3 2
6 3
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17 19
17 18
25 25
3 2
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2
4 2
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4 3 2
18
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6 3
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15 15
3 2
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10
2
4 3
5 2
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10 15
10 12
35 25
69 69
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4 2
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2
4 2
12 2
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5 2
18 12
14 12
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5 2
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4 3 2
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4 2
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15 14
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30 35
2
4 2
6 3
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3 2
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15 15
15 16
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4 2
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15
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8
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4 2
3
227
111
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15 21
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50 50
116 116
81 224
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27 24
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10 11
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61 50
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5 2
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12 11
3
2
5 2
12
2
4
2
4 2
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13 12
13 12
27 25
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5
2
5 2
15
2
5
3 2
7
2
4 2
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9 9
2
5 2
5 2
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9
2
4 2
111
54
33
18 9
12 9
22 22
54 59
110 110
3 2
7
2
4 2
6 3
12
2
5 3 2
9 9
13 12
2
4 2
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3 2
6 3
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9 13
9 13
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3 2
6 3
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2
4 2
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4 2
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10 10
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6 3
10
2
4 2
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12 10
26 22
55 59
3
7
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2
4 2
4 2
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7 16
3 2
8
3
6 3
6 3
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8 15
8 11
23 26
3
2
7 3 2
11
2
4 2
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12 11
15 11
3 2
5 2
12
2
4 2
6 3
8
2
4 2
We show how to:
1. reduce storage cost from 32TB to 16 GB
2. approximate Cholesky factorisation of C, its determinant,
inverse in 8 minutes on modern desktop computer.
3. make prediction
2

4
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The structure of the talk
1. Motivation: improve statistical models, data analysis,
prediction
2. Identification of unknown parameters via maximizing Gaussian
log-likelihood (MLE)
3. Tools: Hierarchical matrices [Hackbusch 1999]
4. Matérn covariance function, joint Gaussian log-likelihood
5. Error analysis
6. Prediction at new locations
7. Comparison with machine learning methods
3

4
*
Identifying unknown parameters
Given:
Let s1, . . . , sn be locations.
Z = {Z(s1), . . . , Z(sn)}>, where Z(s) is a Gaussian random field
indexed by a spatial location s ∈ Rd , d ≥ 1.
Assumption: Z has mean zero and stationary parametric
covariance function, e.g. Matérn:
C(θ) =
2σ2
Γ(ν)
r
2`
ν
Kν
r
`

+ τ2
I, θ = (σ2
, ν, `, τ2
).
To identify: unknown parameters θ := (σ2, ν, `, τ2).
4

4
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Identifying unknown parameters
Statistical inference about θ is then based on the Gaussian
log-likelihood function:
L(C(θ)) = L(θ) = −
n
2
log(2π) −
1
2
log|C(θ)| −
1
2
Z
C(θ)−1
Z, (1)
where the covariance matrix C(θ) has entries
C(si − sj ; θ), i, j = 1, . . . , n.
The maximum likelihood estimator of θ is the value b
θ that
maximizes (1).
5

4
*
H-matrix approximations of C, L and C−1
43
13
28
14 34
10 5
9 15
44
13
29
13 35
14 7
5 14
50
14 62
15 6
6 15
60
15
31
17 44
13
14 6
7 14
3 13 6
5
16
12 8
7 15
3 15
34
11 31
16 59
13 6
7 12
58
15 51
16 7
6 16
31
15 39
12
36
14 40
15 6
6 17
32
14 40
10 7
7 10
41
16 35
5
13 8
6
9
10 7
7 9
3 10
1 5 6
6
6
8
8 7
8 8
3 9 7
7
9
8 6
7 7
3 9
1 6
47
12 51
15 7
7 15
38
17 34
17
34
15 32
13 7
7
10
9 7
6 9
3 10
56
14 46
14 7
8 12
64
15 57
9 6
6 8
16 8
7 14
3
9 5
5 9
9
7
15
16 6
5 14
2
9 6
6 8
54
16 30
10 5
7 8
32
15 33
14 5
8 16
34
14 35
9 6
7 9
34
15 31
17 6
7 15
60
15
34
14 28
15 6
7 13
29
13 35
16 54
2 1
1 2
14
12 6
9 12
2 12 6
9
8 6
6 8
16 9
6 13
3 16
1 1
1
2 1
1 2
1 6
1 1
1 6
1
1
2 1
1 3
7 6
6 9
15 6
7 14
2
9 6
6 8
8
5
8 5
7 9
14 6
8 15
2 14
1 1
1 1
3 1
1 2
56
16
31
12 32
12 6
10 14
55
16
35
14 43
15 8
7
9
5 8
4 9
3 10
41
16 28
15
30
16 38
14 7
6 17
36
11 38
8 8
6 9
40
17 36
13
13 7
7 15
3 14 8
6
12
16 6
6 13
2 16
60
17
29
14 35
11 6
6 17
54
15 67
14 6
6 16
36
14 39
18 59
14 6
7 17
52
14 58
6
9
9 8
6 8
3 10 7
8 17
1 5 5
7
6
15 7
9 13
1 5
61
13 59
13 6
6 13
37
16 38
15 58
13 5
4 16
31
13 33
18 59
12 6
7 12
74
15 63
15
15 7
7 17
3
9 6
6 9
7
7
9 6
6 8
15 7
7 14
1 14
51
15
42
13 37
13 7
6 14
59
16 54
14 8
6 16
36
14 37
19 57
14 7
6 10
52
13 65
43
13
28
13 34
10 5
9 15
44
13
29
13 35
14 7
5 14
50
14 62
14 6
6 14
60
15
31
16 44
13
14 8
7 14
3 13 5
5
17
11 7
7 15
2 15
34
11 31
16 59
13 6
7 12
58
15 51
16 7
6 16
31
15 39
12
36
14 40
15 5
6 17
32
14 40
10 7
7 10
41
17 35
5
13 8
6
9
10 7
7 9
3 10
1 5 5
6
5
9
8 7
8 8
3 9 7
7
10
8 5
7 7
4 9
1 5
47
12 51
15 7
7 15
38
16 34
16
34
15 32
13 8
7
12
8 6
6 9
3 10
56
14 46
14 8
8 12
64
15 57
11 6
6 8
15 9
7 14
3
10 5
5 9
7
7
16
16 7
5 15
2
9 6
6 9
54
15 30
10 5
7 8
32
14 33
13 5
8 16
34
14 35
9 6
7 9
34
15 31
17 5
7 15
60
15
34
13 28
14 5
7 13
29
13 35
15 54
1 1
1 2
14
12 6
9 11
2 12 5
9
9 5
6 8
16 10
6 13
3 16
1 2 1
1 2
1 6
1
1 6
1
1
2 1
1 2
8 5
6 9
15 8
7 14
3
9 6
6 8
8
5
9 5
7 9
14 7
8 15
2 14
1 1
1
2 1
1 1
56
15
31
12 32
12 6
10 13
55
16
35
14 43
15 8
7
10
5 9
4 9
3 10
41
16 28
9 4
8 7
30
16 38
14 7
6 17
36
11 38
8 8
6 9
40
17 36
13
13 6
7 15
3 14 8
6
13
16 6
6 13
1 16
60
16
29
14 35
11 8
6 17
54
15 67
13 5
6 16
36
14 39
17 59
14 6
7 17
52
14 58
6
10
9 8
6 8
3 10 7
8 16
1 4 5
7
5
15 6
9 13
1 5
61
13 59
12 6
6 13
37
16 38
15 58
13 5
4 16
31
12 33
18 59
12 5
7 12
74
14 63
14
15 8
7 18
2
10 6
6 8
5
7
11 6
6 8
15 6
7 14
2 14
51
15
42
13 37
12 8
6 14
59
15 54
13 8
6 15
36
13 37
19 57
15 6
6 10
52
13 65
H-matrix approximations of the exponential covariance matrix
(left), its hierarchical Cholesky factor L̃ (middle), and the zoomed
upper-left corner of the matrix (right), n = 4000, ` = 0.09,
ν = 0.5, σ2 = 1.
6

4
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What will change after H-matrix approximation?
Approximate C by CH
1. How the eigenvalues of C and CH differ ?
2. How det(C) differs from det(CH) ?
3. How L differs from LH ? [Mario Bebendorf et al]
4. How C−1 differs from (CH)−1 ? [Mario Bebendorf et al]
5. How L̃(θ, k) differs from L(θ)?
6. What is optimal H-matrix rank?
7. How θH differs from θ?
For theory, estimates for the rank and accuracy see works of
Bebendorf, Grasedyck, Le Borne, Hackbusch,...
7

4
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Details of the parameter identification
To maximize the log-likelihood function we use the Brent’s method
(combining bisection method, secant method and inverse quadratic
interpolation) or any other.
1. C(θ) ≈ e
C(θ, ε).
2. e
C(θ, k) = e
L(θ, k)e
L(θ, k)T
3. ZT e
C−1Z = ZT (e
Le
LT )−1Z = vT · v, where v is a solution of
e
L(θ, k)v(θ) := Z.
log det{e
C} = log det{e
Le
LT
} = log det{
n
Y
i=1
λ2
i } = 2
n
X
i=1
logλi ,
e
L(θ, k) = −
n
2
log(2π) −
n
X
i=1
log{e
Lii (θ, k)} −
1
2
(v(θ)T
· v(θ)). (2)
8

Dependence of log-likelihood ingredients on parameters, n = 4225.
k = 8 in the first row and k = 16 in the second.
9

4
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Remark: stabilization with nugget
To avoid instability in computing Cholesky, we add: e
Cm = e
C + τ2I.
Let λi be eigenvalues of e
C, then eigenvalues of e
Cm will be λi + τ2,
log det(e
Cm) = log
Qn
i=1(λi + τ2) =
Pn
i=1 log(λi + τ2).
(left) Dependence of the negative log-likelihood on parameter `
with nuggets {0.01, 0.005, 0.001} for the Gaussian covariance.
(right) Zoom of the left figure near minimum; n = 2000 random
points from moisture example, rank k = 14, τ2 = 1, ν = 0.5.
10

4
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Error analysis
Theorem (1)
Let e
C be an H-matrix approximation of matrix C ∈ Rn×n such that
ρ(e
C−1
C − I) ≤ ε 1.
Then
|log det C − log det e
C| ≤ −nlog(1 − ε), (3)
Proof: See [Ballani, Kressner 14] and [Ipsen 05].
Remark: factor n is pessimistic and is not really observed
numerically.
11

4
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Error in the log-likelihood
Theorem (2)
Let e
C ≈ C ∈ Rn×n and Z be a vector, kZk ≤ c0 and kC−1k ≤ c1.
Let ρ(e
C−1C − I) ≤ ε 1. Then it holds
| e
L(θ) − L(θ)| =
1
2
(log|C| − log|e
C|) +
1
2
|ZT

C−1
− e
C−1

Z|
≤ −
1
2
· nlog(1 − ε) +
1
2
|ZT

C−1
C − e
C−1
C

C−1
Z|
≤ −
1
2
· nlog(1 − ε) +
1
2
c2
0 · c1 · ε.
12

4
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H-matrix approximation
ε accuracy in each sub-block, n = 16641, ν = 0.5,
c.r.=compression ratio.
ε |log|C| − log|e
C|| |
log|C|−log|e
C|
log|e
C|
| kC − e
CkF
kC−e
Ck2
kCk2
kI − (e
Le
L
)−1
Ck2 c.r. in %
` = 0.0334
1e-1 3.2e-4 1.2e-4 7.0e-3 7.6e-3 2.9 9.16
1e-2 1.6e-6 6.0e-7 1.0e-3 6.7e-4 9.9e-2 9.4
1e-4 1.8e-9 7.0e-10 1.0e-5 7.3e-6 2.0e-3 10.2
1e-8 4.7e-13 1.8e-13 1.3e-9 6e-10 2.1e-7 12.7
` = 0.2337
1e-4 9.8e-5 1.5e-5 8.1e-5 1.4e-5 2.5e-1 9.5
1e-8 1.45e-9 2.3e-10 1.1e-8 1.5e-9 4e-5 11.3
log|C| = 2.63 for ` = 0.0334 and log|C| = 6.36 for ` = 0.2337.
13

4
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Boxplots for unknown parameters
Moisture data example. Boxplots for the 100 estimates of (`, ν,
σ2), respectively, when n = 32K, 16K, 8K, 4K, 2K. H-matrix with
a fixed rank k = 11. Green horizontal lines denote 25% and 75%
quantiles for n = 32K.
14

4
*
How much memory is needed?
0 0.5 1 1.5 2 2.5
ℓ, ν = 0.325, σ2
= 0.98
5
5.5
6
6.5
size,
in
bytes
×10 6
1e-4
1e-6
0.2 0.4 0.6 0.8 1 1.2 1.4
ν, ℓ = 0.58, σ2
= 0.98
5.2
5.4
5.6
5.8
6
6.2
6.4
6.6
size,
in
bytes
×10 6
1e-4
1e-6
(left) Dependence of the matrix size on the covariance length `,
and (right) the smoothness ν for two different H-accuracies
ε = {10−4, 10−6}
15

4
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Error convergence
0 10 20 30 40 50 60 70 80 90 100
−25
−20
−15
−10
−5
0
rank k
log(rel.
error)
Spectral norm, L=0.1, nu=1
Frob. norm, L=0.1
Spectral norm, L=0.2
Frob. norm, L=0.2
Frob. norm, L=0.5
0 10 20 30 40 50 60 70 80 90 100
−16
−14
−12
−10
−8
−6
−4
−2
0
rank k
log(rel.
error)
Spectral norm, L=0.1, nu=0.5
Frob. norm, L=0.1
Frob. norm, L=0.2
Frob. norm, L=0.5
Convergence of the H-matrix approximation errors for covariance
lengths {0.1, 0.2, 0.5}; (left) ν = 1 and (right) ν = 0.5,
computational domain [0, 1]2.
16

4
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How log-likelihood depends on n?
ν
0 0.1 0.2 0.3 0.4 0.5 0.6
−L
10 3
10 4
10 5
2000
4000
8000
16000
32000
Figure: Dependence of negative log-likelihood function on different
number of locations n = {2000, 4000, 8000, 16000, 32000} in log-scale.
17

4
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Time and memory for parallel H-matrix approximation
Maximal # cores is 40, ν = 0.325, ` = 0.64, σ2 = 0.98
n C̃ L̃L̃
time size kB/dof time size kI − (L̃L̃
)−1
C̃k2
sec. MB sec. MB
32.000 3.3 162 5.1 2.4 172.7 2.4 · 10−3
128.000 13.3 776 6.1 13.9 881.2 1.1 · 10−2
512.000 52.8 3420 6.7 77.6 4150 3.5 · 10−2
2.000.000 229 14790 7.4 473 18970 1.4 · 10−1
Dell Station, 20 × 2 cores, 128 GB RAM, bought in 2013 for
10.000 USD.
18

4
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Prediction
Let Z = (Z1, Z2) has mean zero and a stationary covariance, Z1 -
known, Z2 unknown.
C =

C11 C12
C21 C22,

We compute predicted values
Z2 = C21C−1
11 Z1
Z2 has the conditional distribution with the mean value C21C−1
11 Z1
and the covariance matrix C22 − C21C−1
11 C12.
19

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2021 KAUST Competition
We participated in 2021 KAUST Competition on Spatial
Statistics for Large Datasets.
You can download the datasets and look the final results here
https://cemse.kaust.edu.sa/stsds/
2021-kaust-competition-spatial-statistics-large-datasets
20

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Prediction
Prediction for two datasets. The yellow points at 900.000 locations
were used for training and the blue points were predicted at
100.000 new locations.
21

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Machine learning methods to make prediction
k-nearest neighbours (kNN): For each point x find its k nearest
neighbors x1, . . . , xk, and set: ŷ(x) = 1
k
Pk
i=1 yi .
Random Forest (RF): a large number of decision (or regression)
trees are generated independently on random sub-samples of data.
The final decision for x is calculated over the ensemble of trees by
averaging the predicted outcomes.
Deep Neural Network (DNN): fully connected neural network
Input layer consists of two neurons (input feature dimensionality),
and output layer consists of one neuron (predicted feature
dimensionality).
22

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Prediction by kNN
Prediction obtained by the kNN method. The yellow points at
900.000 locations were used for training and the blue points were
predicted at 100.000 new locations. One can see a very well
alignment of both.
23

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Conclusion
I With H-matrices you can approximate Matérn covariance
matrices, Gaussian log-likelihoods, identify unknown
parameters and make predictions
I MLE estimate and predictions depend on H-matrix accuracy
I parameter identification problem has multiple solutions
I Investigated dependence of H-matrix approximation error on
the estimated parameters
I Each of ML methods needs fine-tuning stage to optimize its
hyperparameters or architecture.
24

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Open questions and TODOs
I The Gaussian log-likelihood function has some drawbacks for
very large matrices
I How to skip/avoid redundant data?
I A good starting point for optimization is needed
I a “preconditioner” (a simple cov. matrix) is needed
I H-matrices become expensive for large number of parameters
to be identified
I error estimates are needed

4
*
Literature
All tests are reproducible
https://github.com/litvinen/large_random_fields.git
1. A. Litvinenko, R. Kriemann, M.G. Genton, Y. Sun, D.E. Keyes, HLIBCov:
Parallel hierarchical matrix approximation of large covariance matrices
and likelihoods with applications in parameter identification, MethodsX 7,
100600, 2020
2. A. Litvinenko, Y. Sun, M.G. Genton, D.E. Keyes, Likelihood
approximation with hierarchical matrices for large spatial datasets,
Computational Statistics Data Analysis 137, 115-132, 2019
3. A. Litvinenko, R. Kriemann, V. Berikov, Identification of unknown
parameters and prediction with hierarchical matrices, look arXiv and
ResearchGate, March 2021
4. M. Espig, W. Hackbusch, A. Litvinenko, H.G. Matthies, E. Zander,
Iterative algorithms for the post-processing of high-dimensional data,
Journal of Computational Physics 410, 109396, 2020
26

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Literature
5. A. Litvinenko, D. Keyes, V. Khoromskaia, B.N. Khoromskij, H.G.
Matthies, Tucker tensor analysis of Matérn functions in spatial statistics,
Computational Methods in Applied Mathematics 19 (1), 101-122, 2019
6. B. N. Khoromskij, A. Litvinenko, H.G. Matthies, Application of
hierarchical matrices for computing the Karhunen-Loéve expansion,
Computing 84 (1-2), 49-67, 31, 2009
7. W. Nowak, A. Litvinenko, Kriging and spatial design accelerated by
orders of magnitude: Combining low-rank covariance approximations with
FFT-techniques, Mathematical Geosciences 45 (4), 411-435, 2013
8. M. Espig, W. Hackbusch, A. Litvinenko, H.G. Matthies, E. Zander,
Efficient analysis of high dimensional data in tensor formats, Sparse Grids
and Applications, 31-56, Springer, Berlin, 2013
27

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Acknowledgement
V. Berikov was supported by the state contract of the Sobolev
Institute of Mathematics (project no 0314-2019-0015), and by
RFBR grant 19-29-01175.
A. Litvinenko was supported by funding from the Alexander von
Humboldt Foundation.
28

Identification of unknown parameters and prediction with hierarchical matrices. Comparison with ML methods.

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