2023/03/27 by Lisa Gaedke-Merzhäuser, Gaedke-Merzhäuser, Lisa, Elias Teixeira Krainski +7
Computer Science · Environmental Science · Mathematics · #Bayesian Methods and Mixture Models #Computation (stat.CO) #Distributed #FOS: Computer and information sciences #FOS: Mathematics #Numerical Analysis (math.NA) #Parallel #Soil Geostatistics and Mapping #Statistical Methods and Bayesian Inference #and Cluster Computing (cs.DC)
paper · pdf · doi:10.48550/arxiv.2303.15254
openalex publication_date 2023/03/27 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
Bayesian inference tasks continue to pose a computational challenge. This especially holds for spatial-temporal modeling where high-dimensional latent parameter spaces are ubiquitous. The methodology of integrated nested Laplace approximations (INLA) provides a framework for performing Bayesian inference applicable to a large subclass of additive Bayesian hierarchical models. In combination with the stochastic partial differential equations (SPDE) approach it gives rise to an efficient method for spatial-temporal modeling. In this work we build on the INLA-SPDE approach, by putting forward a performant distributed memory variant, INLA-DIST, for large-scale applications. To perform the arising computational kernel operations, consisting of Cholesky factorizations, solving linear systems, and selected matrix inversions, we present two numerical solver options, a sparse CPU-based library and a novel blocked GPU-accelerated approach which we propose. We leverage the recurring nonzero block structure in the arising precision (inverse covariance) matrices, which allows us to employ dense subroutines within a sparse setting. Both versions of INLA-DIST are highly scalable, capable of performing inference on models with millions of latent parameters. We demonstrate their accuracy and performance on synthetic as well as real-world climate dataset applications.