Volume 16, Issue 1
Approximation of Spatio-Temporal Random Processes Using Tensor Decomposition

Debraj Ghosh & Anup Suryawanshi

Commun. Comput. Phys., 16 (2014), pp. 75-95.

Published online: 2014-07

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  • Abstract

A new representation of spatio-temporal random processes is proposed in this work. In practical applications, such processes are used to model velocity fields, temperature distributions, response of vibrating systems, to name a few. Finding an efficient representation for any random process leads to encapsulation of information which makes it more convenient for a practical implementations, for instance, in a computational mechanics problem. For a single-parameter process such as spatial or temporal process, the eigenvalue decomposition of the covariance matrix leads to the well-known Karhunen-Loève (KL) decomposition. However, for multiparameter processes such as a spatio-temporal process, the covariance function itself can be defined in multiple ways. Here the process is assumed to be measured at a finite set of spatial locations and a finite number of time instants. Then the spatial covariance matrices at different time instants are considered to define the covariance of the process. This set of square, symmetric, positive semi-definite matrices is then represented as a third-order tensor. A suitable decomposition of this tensor can identify the dominant components of the process, and these components are then used to define a closed-form representation of the process. The procedure is analogous to the KL decomposition for a single-parameter process, however, the decompositions and interpretations vary significantly. The tensor decompositions are successfully applied to (i) a heat conduction problem, (ii) a vibration problem, and (iii) a covariance function taken from the literature that was fitted to model a measured wind velocity data. It is observed that the proposed representation provides an efficient approximation to some processes. Furthermore, a comparison with KL decomposition showed that the proposed method is computationally cheaper than the KL, both in terms of computer memory and execution time.

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@Article{CiCP-16-75, author = {}, title = {Approximation of Spatio-Temporal Random Processes Using Tensor Decomposition}, journal = {Communications in Computational Physics}, year = {2014}, volume = {16}, number = {1}, pages = {75--95}, abstract = {

A new representation of spatio-temporal random processes is proposed in this work. In practical applications, such processes are used to model velocity fields, temperature distributions, response of vibrating systems, to name a few. Finding an efficient representation for any random process leads to encapsulation of information which makes it more convenient for a practical implementations, for instance, in a computational mechanics problem. For a single-parameter process such as spatial or temporal process, the eigenvalue decomposition of the covariance matrix leads to the well-known Karhunen-Loève (KL) decomposition. However, for multiparameter processes such as a spatio-temporal process, the covariance function itself can be defined in multiple ways. Here the process is assumed to be measured at a finite set of spatial locations and a finite number of time instants. Then the spatial covariance matrices at different time instants are considered to define the covariance of the process. This set of square, symmetric, positive semi-definite matrices is then represented as a third-order tensor. A suitable decomposition of this tensor can identify the dominant components of the process, and these components are then used to define a closed-form representation of the process. The procedure is analogous to the KL decomposition for a single-parameter process, however, the decompositions and interpretations vary significantly. The tensor decompositions are successfully applied to (i) a heat conduction problem, (ii) a vibration problem, and (iii) a covariance function taken from the literature that was fitted to model a measured wind velocity data. It is observed that the proposed representation provides an efficient approximation to some processes. Furthermore, a comparison with KL decomposition showed that the proposed method is computationally cheaper than the KL, both in terms of computer memory and execution time.

}, issn = {1991-7120}, doi = {https://doi.org/10.4208/cicp.201112.191113a}, url = {http://global-sci.org/intro/article_detail/cicp/7034.html} }
TY - JOUR T1 - Approximation of Spatio-Temporal Random Processes Using Tensor Decomposition JO - Communications in Computational Physics VL - 1 SP - 75 EP - 95 PY - 2014 DA - 2014/07 SN - 16 DO - http://doi.org/10.4208/cicp.201112.191113a UR - https://global-sci.org/intro/article_detail/cicp/7034.html KW - AB -

A new representation of spatio-temporal random processes is proposed in this work. In practical applications, such processes are used to model velocity fields, temperature distributions, response of vibrating systems, to name a few. Finding an efficient representation for any random process leads to encapsulation of information which makes it more convenient for a practical implementations, for instance, in a computational mechanics problem. For a single-parameter process such as spatial or temporal process, the eigenvalue decomposition of the covariance matrix leads to the well-known Karhunen-Loève (KL) decomposition. However, for multiparameter processes such as a spatio-temporal process, the covariance function itself can be defined in multiple ways. Here the process is assumed to be measured at a finite set of spatial locations and a finite number of time instants. Then the spatial covariance matrices at different time instants are considered to define the covariance of the process. This set of square, symmetric, positive semi-definite matrices is then represented as a third-order tensor. A suitable decomposition of this tensor can identify the dominant components of the process, and these components are then used to define a closed-form representation of the process. The procedure is analogous to the KL decomposition for a single-parameter process, however, the decompositions and interpretations vary significantly. The tensor decompositions are successfully applied to (i) a heat conduction problem, (ii) a vibration problem, and (iii) a covariance function taken from the literature that was fitted to model a measured wind velocity data. It is observed that the proposed representation provides an efficient approximation to some processes. Furthermore, a comparison with KL decomposition showed that the proposed method is computationally cheaper than the KL, both in terms of computer memory and execution time.

Debraj Ghosh & Anup Suryawanshi. (2020). Approximation of Spatio-Temporal Random Processes Using Tensor Decomposition. Communications in Computational Physics. 16 (1). 75-95. doi:10.4208/cicp.201112.191113a
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