Spatial decorrelation methods:

Some case studies and experiments

Ute Mueller
School of Engineering
Why bother?

• Typically a large domain to be modelled for many

variables
• Reduction in computational effort

• Spatial decorrelation replaces raw data with spatially

independent factors:
– Identification of key contributors to variability
– Interpretation aid (structure interpretation)
– Less inferential effort
Multivariate Random Function Model

 Domain : A
 vector of K second-order stationary standard normal random
functions over A: Z(u)  Z1 (u), Z 2 (u),...Z K (u)T
 marginal cdfs: Fi ( za ; u)  Prob( Z i (u)  za )
 expected values mi  E{Z i (u)}
 cross-covariance functions
Cij (h)  E{( Z i (u)  mi )( Z j (u  h)  m j )}
 cross-variogram functions
1
 ij (h)  E{( Z i (u)  Z i (u  h))(Z j (u)  Z j (u  h))}
2
 correlation matrix: M
Linear model of Coregionalisation

Spatial structure can be modelled as

J
(h)   M  g  (h)
 1
where

J denotes the number of structures

M positive (semi) definite
g allowed semivariogram model
Simulation approaches
• Use a full co-simulation, e.g.
– Sequential gaussian simulation (SGS)
– Turning bands simulation (TBS)
• Transform the data to decorrelated factors, simulate
factors separately using SGS or TBS and back-transform
to original data space
– PCA (works well when data exhibit intrinsic correlation)
• Based on diagonalisation of the variance covariance matrix of the data

– MAF (assumes that the LMC has two non-commuting structures)

• Based on the joint diagonalisation of the variance covariance matrix and one
semivariogram matrix at lag h

– More general techniques: AC-DC, U-Wedge, RJD, ICA

.... (no assumptions made in relation to underlying LMC),
• A set of experimental semivariogram or covariance matrices is approximately
diagonalised
Workflow with spatial decorrelation

• Transform data to normal scores

• Calculate experimental variograms and cross variograms

• Decorrelate the data

• Model factor variograms

• Simulate factors using univariate conditional simulation

• Backtransform (first from factors to normal scores, then to
actual data space)
Decorrelation Methods

• Given Z(u) find a matrix A such that the components

of F(u)=AZ(u) are decorrelated in space
• Types of methods
– Orthogonal transformations (OJD): PCA, RJD
– Non-orthogonal transformations (NOJD): MAF,
UWEDGE, ACDC,....
• Characteristics
– Closed form expressions for PCA and MAF
– Iterative methods in case of UWEDGE, RJD,...
– Approximate, if applied to experimental semivariogram
matrices
RJD (Cardoso & Souloumiac, 1996)
Diagonalises a set of J symmetric K  K matrices
M1, M 2 ,..., M J  by minimising
J
C1 ( A)   A M j A  diag ( A M j A) F
T T 2

j 1

Inputs:
Target matrices M1 , M 2 ,..., M J 

Output:
estimated diagonalising matrix A for M1 , M 2 ,..., M J 
Transformation:
Y(u)  AT Z(u)
MAF (Switzer and Green)
Based on the assumption that a 2SLMC fits the variograms and
cross-variograms
Γ(h)  M 1 g1 (h)  ( M  M1 ) g 2 (h)
Choose a lag spacing h1
Diagonalise M and Γ(h1 ) jointly by congruence and put
Y(u)  PT (QΛ 1/ 2 )T Z(u)
where
M  QΛQT
and
Λ 1/ 2QT (h1 )QΛ 1/ 2  PΛ1PT
U-WEDGE (Tichavsky and Yeredor)
Diagonalises a set of J symmetric K  K matrices M1 , M 2 ,..., M J 
by minimising
J
C3 (V , A)   VM jV  AD j ,V A
T T 2
F
j 1

Inputs:
Target matrices M1 , M 2 ,..., M J 
An initial guess Vˆ ( 0)

Output:
estimated unmixing matrix Vˆ for M1 , M 2 ,..., M J 
Transformation:
Y(u)  VˆZ(u)
 Measures of decorrelation

Square deviation from diagonality

Relative deviation from diagonality

Spatial diagonalisation efficiency

CASE STUDY
Data Set 1 (Iron ore)

(n=272) Al2O3 Fe SiO2 TiO2 LOI

Mean 1.56 56.86 7.20 0.11 9.74
St.Deviation 1.07 1.79 1.72 0.09 0.42
Skewness 2.09 -1.60 0.89 2.49 -0.20
Minimum 0.33 45.63 3.88 0.01 7.45
Lower Quartile 0.86 56.03 5.95 0.05 9.50
Median 1.25 57.09 6.94 0.07 9.73
Upper Quartile 1.95 58.16 8.47 0.14 9.96
Maximum 7.39 59.95 16.51 0.63 11.45
Comparison of Decorrelation
MAF U-Wedge

Measures of Decorrelation, MAF Measures of Decorrelation, UWedge

1 (h) 1 (h)
(h) (h)
0.9 (h) 0.9 (h)
0.8 0.8

0.7 0.7
Average (h)=
Average (h)=
Decorrelation

Decorrelation
0.6 0.0554 0.6 0.0182

0.5 Average (h)= 0.5 Average (h)=

0.1618
0.1098
0.4 0.4
Average (h)=
Average (h)=
0.3 0.9928 0.3 0.9972

0.2 0.2

0.1 0.1

0
0 50 100 150 200 0 50 100 150 200
Lag h (m) Lag h (m)
Semivariogram Models
Results

Individual realisations E-Type

Correlation
SOME CONTROLLED
EXPERIMENTS
Experiments
• Test models
– Intrinsic co-regionalisation:
• 1(h)=C1(0.3 nugget(h)+0.7spher40 (h))
– 2SLMC:
• 2(h)=C21nugget(h)+C22spher50 (h)
– 3SLMC:
• 3(h)=C31spher5(h)+C32spher15 (h)+C33spher45 (h)

C1 C21 C22 C31 C32 C33

3.0229 1.0137 2.0200 1.0034 0.6957 1.2759
0.9162 0.2181 0.7253 0.2935 0.1988 0.5162
0.5555 0.1953 0.3302 0.2075 0.1065 0.2068
0.2910 0.0960 0.1971 0.1017 0.1016 0.1009
0.2144 0.0495 0.1549 0.0488 0.0473 0.0956
Experiments

• No Noise
– Application to semivariogram matrices derived
from LMC
• Noise
– Generation of 100 nonconditional realisations
based on the 3 covariance models
– Families of experimental semivariograms based on
samples of different density for each model
Decorrelating theoretical models

• Model 1:
– Decorrelation via PCA or MAF is perfect, other methods
fail
• Models 2 and 3:
– NOJD methods have better performance than OJD methods
– RJD shows better performance than PCA
Model 2 Model 3
UWEDGE MAF PCA RJD UWEDGE MAF PCA RJD
 0 0 0.007 0.004 0.002 0.006 0.020 0.006
 0 0 0.078 0.058 0.042 0.036 0.199 0.119
 1 1 0.995 0.997 0.997 0.998 0.934 0.982
Samples

N=100 N=200

N=1000
N=500
Decorrelation Measures
Comments

• Decorrelation matrices calculated through

UWEDGE and RJD are unique up to
permutation of rows and columns
• Problem: interpretation of factors derived from
approximate decorrelation algorithms