Designed especially for neurobiologists, FluoRender is an interactive tool for multi-channel fluorescence microscopy data visualization and analysis.
Deep brain stimulation
BrainStimulator is a set of networks that are used in SCIRun to perform simulations of brain stimulation such as transcranial direct current stimulation (tDCS) and magnetic transcranial stimulation (TMS).
Developing software tools for science has always been a central vision of the SCI Institute.

SCI Publications

2022


S. Fang, A. Narayan, R.M. Kirby, S. Zhe. “Bayesian Continuous-Time Tucker Decomposition,” In Proceedings of the 39 th International Conference on Machine Learning, 2022.

ABSTRACT

Tensor decomposition is a dominant framework for multiway data analysis and prediction. Although practical data often contains timestamps for the observed entries, existing tensor decomposition approaches overlook or under-use this valuable time information. They either drop the timestamps or bin them into crude steps and hence ignore the temporal dynamics within each step or use simple parametric time coefficients. To overcome these limitations, we propose Bayesian Continuous-Time Tucker Decomposition (BCTT). We model the tensor-core of the classical Tucker decomposition as a time-varying function, and place a Gaussian process prior to flexibly estimate all kinds of temporal dynamics. In this way, our model maintains the interpretability while is flexible enough to capture various complex temporal relationships between the tensor nodes. For efficient and high-quality posterior inference, we use the stochastic differential equation (SDE) representation of temporal GPs to build an equivalent state-space prior, which avoids huge kernel matrix computation and sparse/low-rank approximations. We then use Kalman filtering, RTS smoothing, and conditional moment matching to develop a scalable message-passing inference algorithm. We show the advantage of our method in simulation and several real-world applications.



J.D. Hogue, R.M. Kirby, A. Narayan. “Dimensionality Reduction in Deep Learning via Kronecker Multi-layer Architectures,” Subtitled “arXiv:2204.04273,” 2022.

ABSTRACT

Deep learning using neural networks is an effective technique for generating models of complex data. However, training such models can be expensive when networks have large model capacity resulting from a large number of layers and nodes. For training in such a computationally prohibitive regime, dimensionality reduction techniques ease the computational burden, and allow implementations of more robust networks. We propose a novel type of such dimensionality reduction via a new deep learning architecture based on fast matrix multiplication of a Kronecker product decomposition; in particular our network construction can be viewed as a Kronecker product-induced sparsification of an "extended" fully connected network. Analysis and practical examples show that this architecture allows a neural network to be trained and implemented with a significant reduction in computational time and resources, while achieving a similar error level compared to a traditional feedforward neural network.



V. Keshavarzzadeh, R.M. Kirby, A. Narayan. “Variational Inference for Nonlinear Inverse Problems via Neural Net Kernels: Comparison to Bayesian Neural Networks, Application to Topology Optimization,” Subtitled “arXiv:2205.03681,” 2022.

ABSTRACT

Inverse problems and, in particular, inferring unknown or latent parameters from data are ubiquitous in engineering simulations. A predominant viewpoint in identifying unknown parameters is Bayesian inference where both prior information about the parameters and the information from the observations via likelihood evaluations are incorporated into the inference process. In this paper, we adopt a similar viewpoint with a slightly different numerical procedure from standard inference approaches to provide insight about the localized behavior of unknown underlying parameters. We present a variational inference approach which mainly incorporates the observation data in a point-wise manner, i.e. we invert a limited number of observation data leveraging the gradient information of the forward map with respect to parameters, and find true individual samples of the latent parameters when the forward map is noise-free and one-to-one. For statistical calculations (as the ultimate goal in simulations), a large number of samples are generated from a trained neural network which serves as a transport map from the prior to posterior latent parameters. Our neural network machinery, developed as part of the inference framework and referred to as Neural Net Kernels (NNK), is based on hierarchical (deep) kernels which provide greater flexibility for training compared to standard neural networks. We showcase the effectiveness of our inference procedure in identifying bimodal and irregular distributions compared to a number of approaches including Markov Chain Monte Carlo sampling approaches and a Bayesian neural network approach.



S. Li, R.M. Kirby, S. Zhe. “Decomposing Temporal High-Order Interactions via Latent ODEs,” In Proceedings of the 39 th International Conference on Machine Learning, 2022.

ABSTRACT

High-order interactions between multiple objects are common in real-world applications. Although tensor decomposition is a popular framework for high-order interaction analysis and prediction, most methods cannot well exploit the valuable timestamp information in data. The existent methods either discard the timestamps or convert them into discrete steps or use over-simplistic decomposition models. As a result, these methods might not be capable enough of capturing complex, finegrained temporal dynamics or making accurate predictions for long-term interaction results. To overcome these limitations, we propose a novel Temporal High-order Interaction decompoSition model based on Ordinary Differential Equations (THIS-ODE). We model the time-varying interaction result with a latent ODE. To capture the complex temporal dynamics, we use a neural network (NN) to learn the time derivative of the ODE state. We use the representation of the interaction objects to model the initial value of the ODE and to constitute a part of the NN input to compute the state. In this way, the temporal relationships of the participant objects can be estimated and encoded into their representations. For tractable and scalable inference, we use forward sensitivity analysis to efficiently compute the gradient of ODE state, based on which we use integral transform to develop a stochastic mini-batch learning algorithm. We demonstrate the advantage of our approach in simulation and four real-world applications.



S. Li, Z Wang, R.M. Kirby, S. Zhe. “Infinite-Fidelity Coregionalization for Physical Simulation,” Subtitled “arXiv:2207.00678,” 2022.

ABSTRACT

Multi-fidelity modeling and learning are important in physical simulation-related applications. It can leverage both low-fidelity and high-fidelity examples for training so as to reduce the cost of data generation while still achieving good performance. While existing approaches only model finite, discrete fidelities, in practice, the fidelity choice is often continuous and infinite, which can correspond to a continuous mesh spacing or finite element length. In this paper, we propose Infinite Fidelity Coregionalization (IFC). Given the data, our method can extract and exploit rich information within continuous, infinite fidelities to bolster the prediction accuracy. Our model can interpolate and/or extrapolate the predictions to novel fidelities, which can be even higher than the fidelities of training data. Specifically, we introduce a low-dimensional latent output as a continuous function of the fidelity and input, and multiple it with a basis matrix to predict high-dimensional solution outputs. We model the latent output as a neural Ordinary Differential Equation (ODE) to capture the complex relationships within and integrate information throughout the continuous fidelities. We then use Gaussian processes or another ODE to estimate the fidelity-varying bases. For efficient inference, we reorganize the bases as a tensor, and use a tensor-Gaussian variational posterior to develop a scalable inference algorithm for massive outputs. We show the advantage of our method in several benchmark tasks in computational physics.



S. Li, J.M. Phillips, X. Yu, R.M. Kirby, S. Zhe. “Batch Multi-Fidelity Active Learning with Budget Constraints,” Subtitled “arXiv:2210.12704v1,” 2022.

ABSTRACT

Learning functions with high-dimensional outputs is critical in many applications, such as physical simulation and engineering design. However, collecting training examples for these applications is often costly, e.g. by running numerical solvers. The recent work (Li et al., 2022) proposes the first multi-fidelity active learning approach for high-dimensional outputs, which can acquire examples at different fidelities to reduce the cost while improving the learning performance. However, this method only queries at one pair of fidelity and input at a time, and hence has a risk to bring in strongly correlated examples to reduce the learning efficiency. In this paper, we propose Batch Multi-Fidelity Active Learning with Budget Constraints (BMFAL-BC), which can promote the diversity of training examples to improve the benefit-cost ratio, while respecting a given budget constraint for batch queries. Hence, our method can be more practically useful. Specifically, we propose a novel batch acquisition function that measures the mutual information between a batch of multi-fidelity queries and the target function, so as to penalize highly correlated queries and encourages diversity. The optimization of the batch acquisition function is challenging in that it involves a combinatorial search over many fidelities while subject to the budget constraint. To address this challenge, we develop a weighted greedy algorithm that can sequentially identify each (fidelity, input) pair, while achieving a near -approximation of the optimum. We show the advantage of our method in several computational physics and engineering applications.



S. Li, M. Penwarden, R.M. Kirby, S. Zhe. “Meta Learning of Interface Conditions for Multi-Domain Physics-Informed Neural Networks,” Subtitled “arXiv preprint arXiv:2210.12669,” 2022.

ABSTRACT

Physics-informed neural networks (PINNs) are emerging as popular mesh-free solvers for partial differential equations (PDEs). Recent extensions decompose the domain, applying different PINNs to solve the equation in each subdomain and aligning the solution at the interface of the subdomains. Hence, they can further alleviate the problem complexity, reduce the computational cost, and allow parallelization. However, the performance of the multi-domain PINNs is sensitive to the choice of the interface conditions for solution alignment. While quite a few conditions have been proposed, there is no suggestion about how to select the conditions according to specific problems. To address this gap, we propose META Learning of Interface Conditions (METALIC), a simple, efficient yet powerful approach to dynamically determine the optimal interface conditions for solving a family of parametric PDEs. Specifically, we develop two contextual multi-arm bandit models. The first one applies to the entire training procedure, and online updates a Gaussian process (GP) reward surrogate that given the PDE parameters and interface conditions predicts the solution error. The second one partitions the training into two stages, one is the stochastic phase and the other deterministic phase; we update a GP surrogate for each phase to enable different condition selections at the two stages so as to further bolster the flexibility and performance. We have shown the advantage of METALIC on four bench-mark PDE families.



T. Nguyen, R.G. Baraniuk, R.M. Kirby, S.J. Osher, B. Wang. “Momentum Transformer: Closing the Performance Gap Between Self-attention and Its Linearization,” Subtitled “arXiv preprint arXiv:2208.00579,” 2022.

ABSTRACT

Transformers have achieved remarkable success in sequence modeling and beyond but suffer from quadratic computational and memory complexities with respect to the length of the input sequence. Leveraging techniques include sparse and linear attention and hashing tricks; efficient transformers have been proposed to reduce the quadratic complexity of transformers but significantly degrade the accuracy. In response, we first interpret the linear attention and residual connections in computing the attention map as gradient descent steps. We then introduce momentum into these components and propose the \emphmomentum transformer, which utilizes momentum to improve the accuracy of linear transformers while maintaining linear memory and computational complexities. Furthermore, we develop an adaptive strategy to compute the momentum value for our model based on the optimal momentum for quadratic optimization. This adaptive momentum eliminates the need to search for the optimal momentum value and further enhances the performance of the momentum transformer. A range of experiments on both autoregressive and non-autoregressive tasks, including image generation and machine translation, demonstrate that the momentum transformer outperforms popular linear transformers in training efficiency and accuracy.



T.A.J. Ouermi, R.M. Kirby, M. Berzins. “ENO-Based High-Order Data-Bounded and Constrained Positivity-Preserving Interpolation,” Subtitled “https://arxiv.org/abs/2204.06168,” In Numerical Algorithms, 2022.

ABSTRACT

A number of key scientific computing applications that are based upon tensor-product grid constructions, such as numerical weather prediction (NWP) and combustion simulations, require property-preserving interpolation. Essentially Non-Oscillatory (ENO) interpolation is a classic example of such interpolation schemes. In the aforementioned application areas, property preservation often manifests itself as a requirement for either data boundedness or positivity preservation. For example, in NWP, one may have to interpolate between the grid on which the dynamics is calculated to a grid on which the physics is calculated (and back). Interpolating density or other key physical quantities without accounting for property preservation may lead to negative values that are nonphysical and result in inaccurate representations and/or interpretations of the physical data. Property-preserving interpolation is straightforward when used in the context of low-order numerical simulation methods. High-order property-preserving interpolation is, however, nontrivial, especially in the case where the interpolation points are not equispaced. In this paper, we demonstrate that it is possible to construct high-order interpolation methods that ensure either data boundedness or constrained positivity preservation. A novel feature of the algorithm is that the positivity-preserving interpolant is constrained; that is, the amount by which it exceeds the data values may be strictly controlled. The algorithm we have developed comes with theoretical estimates that provide sufficient conditions for data boundedness and constrained positivity preservation. We demonstrate the application of our algorithm on a collection of 1D and 2D numerical examples, and show that in all cases property preservation is respected.



S. Subramanian, R.M. Kirby, M.W. Mahoney, A. Gholami. “Adaptive Self-supervision Algorithms for Physics-informed Neural Networks ,” Subtitled “arXiv:2207.04084,” 2022.

ABSTRACT

Physics-informed neural networks (PINNs) incorporate physical knowledge from the problem domain as a soft constraint on the loss function, but recent work has shown that this can lead to optimization difficulties. Here, we study the impact of the location of the collocation points on the trainability of these models. We find that the vanilla PINN performance can be significantly boosted by adapting the location of the collocation points as training proceeds. Specifically, we propose a novel adaptive collocation scheme which progressively allocates more collocation points (without increasing their number) to areas where the model is making higher errors (based on the gradient of the loss function in the domain). This, coupled with a judicious restarting of the training during any optimization stalls (by simply resampling the collocation points in order to adjust the loss landscape) leads to better estimates for the prediction error. We present results for several problems, including a 2D Poisson and diffusion-advection system with different forcing functions. We find that training vanilla PINNs for these problems can result in up to 70% prediction error in the solution, especially in the regime of low collocation points. In contrast, our adaptive schemes can achieve up to an order of magnitude smaller error, with similar computational complexity as the baseline. Furthermore, we find that the adaptive methods consistently perform on-par or slightly better than vanilla PINN method, even for large collocation point regimes. The code for all the experiments has been open sourced.



H. D. Tran, M. Fernando, K. Saurabh, B. Ganapathysubramanian, R. M. Kirby, H. Sundar. “A scalable adaptive-matrix SPMV for heterogeneous architectures,” In 2022 IEEE International Parallel and Distributed Processing Symposium (IPDPS), IEEE, pp. 13--24. 2022.
DOI: 10.1109/IPDPS53621.2022.00011

ABSTRACT

In most computational codes, the core computational kernel is the Sparse Matrix-Vector product (SpMV) that enables specialized linear algebra libraries like PETSc to be used, especially in the distributed memory setting. However, optimizing SpMvperformance and scalability at all levels of a modern heterogeneous architecture can be challenging as it is characterized by irregular memory access. This work presents a hybrid approach (HyMV) for evaluating SpMV for matrices arising from PDE discretization schemes such as the finite element method (FEM). The approach enables localized structured memory access that provides improved performance and scalability. Additionally, it simplifies the programmability and portability on different architectures. The developed HyMV approach enables efficient parallelization using MPI, SIMD, OpenMP, and CUDA with minimum programming effort. We present a detailed comparison of HyMV with the two traditional approaches in computational code, matrix-assembled and matrix-free approaches, for structured and unstructured meshes. Our results demonstrate that the HyMV approach achieves excellent scalability and outperforms both approaches, e.g., achieving average speedups of 11x for matrix setup, 1.7x for SpMV with structured meshes, 3.6x for SpMV with unstructured meshes, and 7.5x for GPU SpMV.



V. Zala, A. Narayan, R.M. Kirby. “Convex Optimization-Based Structure-Preserving Filter For Multidimensional Finite Element Simulations,” Subtitled “arXiv preprint arXiv:2203.09748,” 2022.

ABSTRACT

In simulation sciences, it is desirable to capture the real-world problem features as accurately as possible. Methods popular for scientific simulations such as the finite element method (FEM) and finite volume method (FVM) use piecewise polynomials to approximate various characteristics of a problem, such as the concentration profile and the temperature distribution across the domain. Polynomials are prone to creating artifacts such as Gibbs oscillations while capturing a complex profile. An efficient and accurate approach must be applied to deal with such inconsistencies in order to obtain accurate simulations. This often entails dealing with negative values for the concentration of chemicals, exceeding a percentage value over 100, and other such problems. We consider these inconsistencies in the context of partial differential equations (PDEs). We propose an innovative filter based on convex optimization to deal with the inconsistencies observed in polynomial-based simulations. In two or three spatial dimensions, additional complexities are involved in solving the problems related to structure preservation. We present the construction and application of a structure-preserving filter with a focus on multidimensional PDEs. Methods used such as the Barycentric interpolation for polynomial evaluation at arbitrary points in the domain and an optimized root-finder to identify points of interest improve the filter efficiency, usability, and robustness. Lastly, we present numerical experiments in 2D and 3D using discontinuous Galerkin formulation and demonstrate the filter's efficacy to preserve the desired structure. As a real-world application …


2021


M. K. Ballard, R. Amici, V. Shankar, L. A. Ferguson, M. Braginsky, R. M. Kirby. “Towards an Extrinsic, CG-XFEM Approach Based on Hierarchical Enrichments for Modeling Progressive Fracture,” Subtitled “arXiv preprint arXiv:2104.14704,” 2021.

ABSTRACT

We propose an extrinsic, continuous-Galerkin (CG), extended finite element method (XFEM) that generalizes the work of Hansbo and Hansbo to allow multiple Heaviside enrichments within a single element in a hierarchical manner. This approach enables complex, evolving XFEM surfaces in 3D that cannot be captured using existing CG-XFEM approaches. We describe an implementation of the method for 3D static elasticity with linearized strain for modeling open cracks as a salient step towards modeling progressive fracture. The implementation includes a description of the finite element model, hybrid implicit/explicit representation of enrichments, numerical integration method, and novel degree-of-freedom (DoF) enumeration algorithm. This algorithm supports an arbitrary number of enrichments within an element, while simultaneously maintaining a CG solution across elements. Additionally, our approach easily allows an implementation suitable for distributed computing systems. Enabled by the DoF enumeration algorithm, the proposed method lays the groundwork for a computational tool that efficiently models progressive fracture. To facilitate a discussion of the complex enrichment hierarchies, we develop enrichment diagrams to succinctly describe and visualize the relationships between the enrichments (and the fields they create) within an element. This also provides a unified language for discussing extrinsic XFEM methods in the literature. We compare several methods, relying on the enrichment diagrams to highlight their nuanced differences.



H. Bhatia, S. N. Petruzza, R. Anirudh, A. G. Gyulassy, R. M. Kirby, V. Pascucci, P. T. Bremer. “Data-Driven Estimation of Temporal-Sampling Errors in Unsteady Flows,” 2021.

ABSTRACT

While computer simulations typically store data at the highest available spatial resolution, it is often infeasible to do so for the temporal dimension. Instead, the common practice is to store data at regular intervals, the frequency of which is strictly limited by the available storage and I/O bandwidth. However, this manner of temporal subsampling can cause significant errors in subsequent analysis steps. More importantly, since the intermediate data is lost, there is no direct way of measuring this error after the fact. One particularly important use case that is affected is the analysis of unsteady flows using pathlines, as it depends on an accurate interpolation across time. Although the potential problem with temporal undersampling is widely acknowledged, there currently does not exist a practical way to estimate the potential impact. This paper presents a simple-to-implement yet powerful technique to estimate the error in pathlines due to temporal subsampling. Given an unsteady flow, we compute pathlines at the given temporal resolution as well as subsamples thereof. We then compute the error induced due to various levels of subsampling and use it to estimate the error between the given resolution and the unknown ground truth. Using two turbulent flows, we demonstrate that our approach, for the first time, provides an accurate, a posteriori error estimate for pathline computations. This estimate will enable scientists to better understand the uncertainties involved in pathline-based analysis techniques and can lead to new uncertainty visualization approaches using the predicted errors.



M. Carlson, X. Zheng, H. Sundar, G. E. Karniadakis, R. M. Kirby. “An open-source parallel code for computing the spectral fractional Laplacian on 3D complex geometry domains,” In Computer Physics Communications, Vol. 261, North-Holland, pp. 107695. 2021.

ABSTRACT

We present a spectral element algorithm and open-source code for computing the fractional Laplacian defined by the eigenfunction expansion on finite 2D/3D complex domains with both homogeneous and nonhomogeneous boundaries. We demonstrate the scalability of the spectral element algorithm on large clusters by constructing the fractional Laplacian based on computed eigenvalues and eigenfunctions using up to thousands of CPUs. To demonstrate the accuracy of this eigen-based approach for computing the factional Laplacian, we approximate the solutions of the fractional diffusion equation using the computed eigenvalues and eigenfunctions on a 2D quadrilateral, and on a 3D cubic and cylindrical domain, and compare the results with the contrived solutions to demonstrate fast convergence. Subsequently, we present simulation results for a fractional diffusion equation on a hand-shaped domain discretized with 3D hexahedra, as well as on a domain constructed from the Hanford site geometry corresponding to nonzero Dirichlet boundary conditions. Finally, we apply the algorithm to solve the surface quasi-geostrophic (SQG) equation on a 2D square with periodic boundaries. Simulation results demonstrate the accuracy, efficiency, and geometric flexibility of our algorithm and that our algorithm can capture the subtle dynamics of anomalous diffusion modeled by the fractional Laplacian on complex geometry domains. The included open-source code is the first of its kind.



J. Chilleri, Y. He, D. Bedrov, R. M. Kirby. “Optimal allocation of computational resources based on Gaussian process: Application to molecular dynamics simulations,” In Computational Materials Science, Vol. 188, Elsevier, pp. 110178. 2021.

ABSTRACT

Simulation models have been utilized in a wide range of real-world applications for behavior predictions of complex physical systems or material designs of large structures. While extensive simulation is mathematically preferable, external limitations such as available resources are often necessary considerations. With a fixed computational resource (i.e., total simulation time), we propose a Gaussian process-based numerical optimization framework for optimal time allocation over simulations at different locations, so that a surrogate model with uncertainty estimation can be constructed to approximate the full simulation. The proposed framework is demonstrated first via two synthetic problems, and later using a real test case of a glass-forming system with divergent dynamic relaxations where a Gaussian process is constructed to estimate the diffusivity and its uncertainty with respect to the temperature.



V. Keshavarzzadeh, M. Alirezaei, T. Tasdizen, R. M. Kirby. “Image-Based Multiresolution Topology Optimization Using Deep Disjunctive Normal Shape Model,” In Computer-Aided Design, Vol. 130, Elsevier, pp. 102947. 2021.

ABSTRACT

We present a machine learning framework for predicting the optimized structural topology design susing multiresolution data. Our approach primarily uses optimized designs from inexpensive coarse mesh finite element simulations for model training and generates high resolution images associated with simulation parameters that are not previously used. Our cost-efficient approach enables the designers to effectively search through possible candidate designs in situations where the design requirements rapidly change. The underlying neural network framework is based on a deep disjunctive normal shape model (DDNSM) which learns the mapping between the simulation parameters and segments of multi resolution images. Using this image-based analysis we provide a practical algorithm which enhances the predictability of the learning machine by determining a limited number of important parametric samples(i.e.samples of the simulation parameters)on which the high resolution training data is generated. We demonstrate our approach on benchmark compliance minimization problems including the 3D topology optimization where we show that the high-fidelity designs from the learning machine are close to optimal designs and can be used as effective initial guesses for the large-scale optimization problem.



V. Keshavarzzadeh, R. M. Kirby, A. Narayan. “Multilevel Designed Quadrature for Partial Differential Equations with Random Inputs,” In SIAM Journal on Scientific Computing, Vol. 43, No. 2, Society for Industrial and Applied Mathematics, pp. A1412-A1440. 2021.

ABSTRACT

We introduce a numerical method, multilevel designed quadrature for computing the statistical solution of partial differential equations with random input data. Similar to multilevel Monte Carlo methods, our method relies on hierarchical spatial approximations in addition to a parametric/stochastic sampling strategy. A key ingredient in multilevel methods is the relationship between the spatial accuracy at each level and the number of stochastic samples required to achieve that accuracy. Our sampling is based on flexible quadrature points that are designed for a prescribed accuracy, which can yield less overall computational cost compared to alternative multilevel methods. We propose a constrained optimization problem that determines the number of samples to balance the approximation error with the computational budget. We further show that the optimization problem is convex and derive analytic formulas for the optimal number of points at each level. We validate the theoretical estimates and the performance of our multilevel method via numerical examples on a linear elasticity and a steady state heat diffusion problem.



V. Keshavarzzadeh, R. M. Kirby, A. Narayan. “Robust topology optimization with low rank approximation using artificial neural networks,” In Computational Mechanics, 2021.
DOI: 10.1007/s00466-021-02069-3

ABSTRACT

We present a low rank approximation approach for topology optimization of parametrized linear elastic structures. The parametrization is considered on loading and stiffness of the structure. The low rank approximation is achieved by identifying a parametric connection among coarse finite element models of the structure (associated with different design iterates) and is used to inform the high fidelity finite element analysis. We build an Artificial Neural Network (ANN) map between low resolution design iterates and their corresponding interpolative coefficients (obtained from low rank approximations) and use this surrogate to perform high resolution parametric topology optimization. We demonstrate our approach on robust topology optimization with compliance constraints/objective functions and develop error bounds for the the parametric compliance computations. We verify these parametric computations with more challenging quantities of interest such as the p-norm of von Mises stress. To conclude, we use our approach on a 3D robust topology optimization and show significant reduction in computational cost via quantitative measures.



V. Keshavarzzadeh, S. Zhe, R.M. Kirby, A. Narayan. “GP-HMAT: Scalable, $O(n\log (n)) $ Gaussian Process Regression with Hierarchical Low-Rank Matrices,” Subtitled “arXiv preprint arXiv:2201.00888,” 2021.

ABSTRACT

A Gaussian process (GP) is a powerful and widely used regression technique. The main building block of a GP regression is the covariance kernel, which characterizes the relationship between pairs in the random field. The optimization to find the optimal kernel, however, requires several large-scale and often unstructured matrix inversions. We tackle this challenge by introducing a hierarchical matrix approach, named HMAT, which effectively decomposes the matrix structure, in a recursive manner, into significantly smaller matrices where a direct approach could be used for inversion. Our matrix partitioning uses a particular aggregation strategy for data points, which promotes the low-rank structure of off-diagonal blocks in the hierarchical kernel matrix. We employ a randomized linear algebra method for matrix reduction on the low-rank off-diagonal blocks without factorizing a large matrix. We provide analytical error and cost estimates for the inversion of the matrix, investigate them empirically with numerical computations, and demonstrate the application of our approach on three numerical examples involving GP regression for engineering problems and a large-scale real dataset. We provide the computer implementation of GP-HMAT, HMAT adapted for GP likelihood and derivative computations, and the implementation of the last numerical example on a real dataset. We demonstrate superior scalability of the HMAT approach compared to built-in operator in MATLAB for large-scale linear solves Ax=y via a repeatable and verifiable empirical study. An extension to hierarchical semiseparable (HSS) matrices is discussed as future research.