The first half of the thesis focuses on the computation of highdimensional multivariate normal (MVN) and multivariate Studentt (MVT) probabilities. Chapter 2 generalizes the bivariate conditioning method to a ddimensional conditioning method and combines it with a hierarchical representation of the n × n covariance matrix. The resulting twolevel hierarchicalblock conditioning method requires Monte Carlo simulations to be performed only in d dimensions, with d ≪ n, and allows the dominant complexity term of the algorithm to be O(n log n). Chapter 3 improves the block reordering scheme from Chapter 2 and integrates it into the QuasiMonte Carlo simulation under the tilelowrank representation of the covariance matrix. Simulations up to dimension 65,536 suggest that this method can improve the run time by one order of magnitude compared with the hierarchical Monte Carlo method. The second half of the thesis discusses a novel matrix compression scheme with Kronecker products, an R package that implements the methods described in Chapter 3, and an application study with the probit Gaussian random field. Chapter 4 studies the potential of using the sum of Kronecker products (SKP) as a compressed covariance matrix representation. Experiments show that this new SKP representation can save the memory footprint by one order of magnitude compared with the hierarchical representation for covariance matrices from large grids and the Cholesky factorization in one million dimensions can be achieved within 600 seconds. In Chapter 5, an R package is introduced that implements the methods in Chapter 3 and show how the package improves the accuracy of the computed excursion sets. Chapter 6 derives the posterior properties of the probit Gaussian random field, based on which model selection and posterior prediction are performed. With the tlrmvnmvt package, the computation becomes feasible in tens of thousands of dimensions, where the prediction errors are significantly reduced.
Date of Award  Apr 22 2020 

Original language  English (US) 

Awarding Institution   Computer, Electrical and Mathematical Science and Engineering


Supervisor  Marc Genton (Supervisor) 

 multivariate normal probability
 conditioning method
 kronecker product
 skewnormal distribution
 probit gaussian random field
 tlrmvnmvt R package