Corrected Kriging update formulae for batch-sequential data assimilation

Recently, a lot of effort has been paid to the efficient computation of Kriging predictors when observations are assimilated sequentially. In particular, Kriging update formulae enabling significant computational savings were derived in Barnes and Watson (1992), Gao et al. (1996), and Emery (2009). Taking advantage of the previous Kriging mean and variance calculations helps avoiding a costly $(n+1) \times (n+1)$ matrix inversion when adding one observation to the $n$ already available ones. In addition to traditional update formulae taking into account a single new observation, Emery (2009) also proposed formulae for the batch-sequential case, i.e. when $r > 1$ new observations are simultaneously assimilated. However, the Kriging variance and covariance formulae given without proof in Emery (2009) for the batch-sequential case are not correct. In this paper we fix this issue and establish corrected expressions for updated Kriging variances and covariances when assimilating several observations in parallel.

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Source https://hal.science/hal-00683362
Author Chevalier, Clément, Ginsbourger, David
Maintainer CCSD
Last Updated May 22, 2026, 19:59 (UTC)
Created May 22, 2026, 19:59 (UTC)
Identifier hal-00683362
Language en
Rights https://about.hal.science/hal-authorisation-v1/
contributor Institut de Radioprotection et de Sûreté Nucléaire (IRSN)
creator Chevalier, Clément
date 2012-03-28T00:00:00
harvest_object_id 84556d8b-561c-486a-95ab-7f90bbff7f97
harvest_source_id 3374d638-d20b-4672-ba96-a23232d55657
harvest_source_title test moissonnage SELUNE
metadata_modified 2025-03-21T00:00:00
relation info:eu-repo/semantics/altIdentifier/arxiv/1203.6452
set_spec type:UNDEFINED