Fast Update of Conditional Simulation Ensembles

Gaussian random fields (GRF) conditional simulation is a key ingredient in many spatial statistics problems for computing Monte-Carlo estimators and quantifying uncertainties on non-linear functionals of GRFs conditional on data. Conditional simulations are known to often be computer intensive, especially when appealing to matrix decomposition approaches with a large number of simulation points. Here we study the settings where conditioning observations are assimilated batch-sequentially, i.e. one point or batch of points at each stage. Assuming that conditional simulations have been performed at a previous stage, we aim at taking advantage of already available sample paths and by-products in order to produce updated conditional simulations at minimal cost. We provide explicit formulas allowing to update an ensemble of sample paths conditioned on $n\geq 0$ observations to an ensemble conditioned on $n+q$ observations, for arbitrary $q\geq 1$. Compared to direct approaches, the proposed formulas prove to substantially reduce computational complexity. Moreover, these formulas enable explicitly exhibiting how the $q$ ''new'' observations are updating the ''old'' sample paths. Detailed complexity calculations highlighting the benefits of our approach with respect to state-of-the-art algorithms are provided and are complemented by numerical experiments.

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Additional Info

Field Value
Source https://hal.science/hal-00984515
Author Chevalier, Clément, Emery, Xavier, Ginsbourger, David
Maintainer CCSD
Last Updated May 5, 2026, 12:51 (UTC)
Created May 5, 2026, 12:51 (UTC)
Identifier hal-00984515
Language en
Rights https://about.hal.science/hal-authorisation-v1/
contributor Institute of Mathematical Statistics and Actuarial Science [Bern] (IMSV) ; Universität Bern = University of Bern = Université de Berne (UNIBE)
creator Chevalier, Clément
date 2014-04-16T00:00:00
harvest_object_id 2f295c3e-8a2b-438f-8684-db476b6e203b
harvest_source_id 3374d638-d20b-4672-ba96-a23232d55657
harvest_source_title test moissonnage SELUNE
metadata_modified 2026-04-02T00:00:00
set_spec type:UNDEFINED