Non-separable Covariance Kernels for Spatiotemporal Gaussian Processes based on a Hybrid Spectral Method and the Harmonic Oscillator

• URL: http://arxiv.org/abs/2302.09580v3
• Date: Tue, 9 Jan 2024 06:10:55 GMT
• Title: Non-separable Covariance Kernels for Spatiotemporal Gaussian Processes based on a Hybrid Spectral Method and the Harmonic Oscillator
• Authors: Dionissios T.Hristopulos
• Abstract summary: We present a hybrid spectral approach for generating covariance kernels based on physical arguments. We derive explicit relations for the covariance kernels in the three oscillator regimes (underdamping, critical damping, overdamping) and investigate their properties.
• Score: 0.0
• License: http://creativecommons.org/licenses/by/4.0/
• Abstract: Gaussian processes provide a flexible, non-parametric framework for the approximation of functions in high-dimensional spaces. The covariance kernel is the main engine of Gaussian processes, incorporating correlations that underpin the predictive distribution. For applications with spatiotemporal datasets, suitable kernels should model joint spatial and temporal dependence. Separable space-time covariance kernels offer simplicity and computational efficiency. However, non-separable kernels include space-time interactions that better capture observed correlations. Most non-separable kernels that admit explicit expressions are based on mathematical considerations (admissibility conditions) rather than first-principles derivations. We present a hybrid spectral approach for generating covariance kernels which is based on physical arguments. We use this approach to derive a new class of physically motivated, non-separable covariance kernels which have their roots in the stochastic, linear, damped, harmonic oscillator (LDHO). The new kernels incorporate functions with both monotonic and oscillatory decay of space-time correlations. The LDHO covariance kernels involve space-time interactions which are introduced by dispersion relations that modulate the oscillator coefficients. We derive explicit relations for the spatiotemporal covariance kernels in the three oscillator regimes (underdamping, critical damping, overdamping) and investigate their properties. We further illustrate the hybrid spectral method by deriving covariance kernels that are based on the Ornstein-Uhlenbeck model.

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