Low-rank tensor approximation for high-order correlation functions of Gaussian random fields

Gaussian random fields are widely used as building blocks for modeling stochastic processes. This paper is concerned with the efficient representation of d-point correlations for such fields, which in turn enables the representation of more general stochastic processes that can be expressed as a function of one (or several) Gaussian random fields. Our representation consists of two ingredients. In the first step, we replace the random field by a truncated Karhunen--Loève expansion and analyze the resulting error. The parameters describing the d-point correlation can be arranged in a tensor, but its storage grows exponentially in d. To avoid this, the second step consists of approximating the tensor in a low-rank tensor format, the so-called tensor train decomposition. By exploiting the particular structure of the tensor, an approximation algorithm is derived that does not need to form this tensor explicitly and allows processing correlations of order as high as d=20. The resulting representation is very compact, and its use is illustrated for elliptic partial differential equations with random Gaussian forcing terms.


Published in:
SIAM/ASA Journal of Uncertainty Quantification, 3, 1, 393-416
Year:
2015
Keywords:
Laboratories:


Note: The status of this file is: EPFL only


 Record created 2014-05-14, last modified 2018-03-17

Publisher's version:
Download fulltext
PDF

Rate this document:

Rate this document:
1
2
3
 
(Not yet reviewed)