Fast data inversion for high-dimensional dynamical systems from noisy measurements

• URL: http://arxiv.org/abs/2501.01324v2
• Date: Tue, 07 Jan 2025 05:57:08 GMT
• Title: Fast data inversion for high-dimensional dynamical systems from noisy measurements
• Authors: Yizi Lin, Xubo Liu, Paul Segall, Mengyang Gu,
• Abstract summary: We develop a scalable approach for a flexible latent factor model for high-dimensional dynamical systems. By applying our method to geodetic measurements in the Cascadia region, our estimated slip better agrees with independently measured seismic data of tremor events.
• Score: 10.060455365145106
• License:
• Abstract: In this work, we develop a scalable approach for a flexible latent factor model for high-dimensional dynamical systems. Each latent factor process has its own correlation and variance parameters, and the orthogonal factor loading matrix can be either fixed or estimated. We utilize an orthogonal factor loading matrix that avoids computing the inversion of the posterior covariance matrix at each time of the Kalman filter, and derive closed-form expressions in an expectation-maximization algorithm for parameter estimation, which substantially reduces the computational complexity without approximation. Our study is motivated by inversely estimating slow slip events from geodetic data, such as continuous GPS measurements. Extensive simulated studies illustrate higher accuracy and scalability of our approach compared to alternatives. By applying our method to geodetic measurements in the Cascadia region, our estimated slip better agrees with independently measured seismic data of tremor events. The substantial acceleration from our method enables the use of massive noisy data for geological hazard quantification and other applications.

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