Sparse Precision Matrix Selection for Fitting Gaussian Random Field Models to Large Data Sets
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Iterative methods for fitting a Gaussian Random Field (GRF) model to spatial data via maximum likelihood (ML) require O(n^3) floating point operations per iteration, where n denotes the number of data locations. For large data sets, the O(n^3) complexity per iteration together with the non-convexity of the ML problem render traditional ML methods inefficient for GRF fitting. The problem is even more aggravated for anisotropic GRFs where the number of covariance function parameters increases with the process domain dimension. In this paper, we propose a new two-step GRF estimation procedure when the process is second-order stationary. First, a convex likelihood problem regularized with a weighted ℓ_1-norm, utilizing the available distance information between observation locations, is solved to fit a sparse precision (inverse covariance) matrix to the observed data using the Alternating Direction Method of Multipliers. Second, the parameters of the GRF spatial covariance function are estimated by solving a least squares problem. Theoretical error bounds for the proposed estimator are provided; moreover, convergence of the estimator is shown as the number of samples per location increases. The proposed method is numerically compared with state-of-the-art methods for big n. Data segmentation schemes are implemented to handle large data sets.
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