Estimating a Centered Matérn (1) Process: Three Alternatives to Maximum Likelihood via Conjugate Gradient Linear Solvers
Let denote the candidate correlation matrix of , with inverse-range , that is, the matrix whose element in the row and column is . The only difficulty regarding implementation in the case of no measurement error, of both the hybrid method and CGEM-EV, is the computation of the quadratic form , the so-called "Gibbs energy of associated with a given ".[more]
The computation of uses a conjugate-gradient (CG) solver preconditioned by a classical factored sparse approximate inverse (FSAI) preconditioning (see  for a recent survey), each product by being obtained via FFT from the standard embedding of in a circulant matrix.
It is observed here that this implementation is quite fast, even for .[less]
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