This was part of Expressing and Exploiting Structure in Modeling, Theory, and Computation with Gaussian Processes
Gaussian Whittle-Matérn fields on metric graphs
David Bolin, King Abdullah Univ. of Science and Technology (KAUST)
Thursday, September 1, 2022
Abstract: We define a new class of Gaussian processes on compact metric graphs such as street or river networks. The proposed models, the Whittle-Matérn fields, are defined via a fractional stochastic partial differential equation on the compact metric graph and are a natural extension of Gaussian fields with Matérn covariance functions on Euclidean domains to the non-Euclidean metric graph setting. Existence of the processes, as well as their sample path regularity properties are derived. The model class in particular contains differentiable Gaussian processes. To the best of our knowledge, this is the first construction of a valid differentiable Gaussian field on general compact metric graphs. We then focus on a model subclass which we show contains processes with Markov properties. For this case, we show how to evaluate finite dimensional distributions of the process exactly and computationally efficiently. This facilitates using the proposed models for statistical inference without the need for any approximations. This is joint work with Alexandre Simas and Jonas Wallin.