Bayesian inference for high-dimensional nonstationary Gaussian processes
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We introduce here an approach based on the Givens representation for posterior inference in statistical models with orthogonal matrix parameters, such as factor models and probabilistic principal component analysis (PPCA). We show how the Givens representation can be used to develop practical methods for transforming densities over the Stiefel manifold into densities over subsets of Euclidean space. We demonstrate how to deal with issues arising from the topology of the Stiefel manifold and how to inexpensively compute the change-of-measure terms. We introduce an auxiliary parameter approach that limits the impact of topological issues. We provide both analysis of our methods and numerical examples demonstrating the effectiveness of the approach. We also discuss how our Givens representation can be used to define general classes of distributions over the space of orthogonal matrices. We then give demonstrations on several examples showing how the Givens approach performs in practice in comparison with other methods.
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We discuss the challenge of developing observationally informed parameterizations of microphysics for use at a hierarchy of modeling scales. Our proposed approach is applicable to any domain that suffers from a two-fold parameterization problem, where physical processes are not resolved at the model scale (the first problem), and those processes are uncertain at any scale (the second problem). For such problems, a physical approach facilitates modeling across scales, as well as systematic observational inference accelerated by machine learning (ML) surrogate models, and quantification of physical uncertainties.
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