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1.1
Statistical assumptions
Let Z(~x, ) be a random function (RF) simulating our hydrological quantity of interest. We
recall that with this notation we imply that ~x denotes a point in space (two or three dimensional
1
space), while denotes the state variable in the space of the realizations. In other words:
Z(~x0 , ) is a random variable at point ~x0 representing the entire set of realizations of the
RF at point ~x0 ;
Z(~x, 1 ) is a particular realization of the RF Z;
Z(~x0 , 1 ) is a measurement point.
Given a set of sampled values Z(~xi , 1 ), i = 1, 2, . . . we want to reconstruct Z(~x, 1 ), i.e. a
possible realization of Z(~x, ).
1.2
(1.1)
2. the autocovariance (another name for the covariance) is a function of the distance between
the reference points ~x1 and ~x2 :
cov[~x1 , ~x2 ] = E[(Z(~x1 , ) m)(Z(~x2 , ) m)] = C(~h)
(1.2)
In practice second order stationarity implies that the first two statistical moments (expected
value and covariance) be translation invariant. Note that by saying that E[Z(~x, )] = m we
imply that effectively the expected value taken on all the possible realizations does not vary
with space. However, for a given realization Z(~x, 1 ) is a function of ~x.
Because of (1.1), the covariance (1.2) can be written as:
cov[~x1 , ~x2 ] = E[(Z(~x1 , ) m)(Z(~x2 , ) m)]
= E[Z(~x1 , )Z(~x2 , )] mE[Z(~x2 , )] E[Z(~x1 , )]m + m2
= E[Z(~x1 , )Z(~x2 , )] m2
(1.3)
Obviously if ~h = 0 we have the definition of variance, also called the dispersion variance:
C(0) = var[Z] = Z2
For simplicity of notation, from now on, we will denote x = ~x, h = ~h and we will drop the
variable in the RF.
Case with m and C(~h) known. If E[Z(x)] = m and C(h) are known, then we can define a
new variable Y (x) with zero mean:
Y (x) = Z(x) m
E[Y (x)] = 0
Given the observed values:
x1 x2 . . . x n
Y1 Y2 . . . Y n
with Yi = Y (xi ) being the observation at point xi , we look for a linear estimator Y (x0 ) of
Y (x0 ) at point x0 using the observed values. The form of the estimator is:
Y (x0 ) =
n
X
i Yi
(1.4)
i=1
n
X
i Y (xi , )
i=1
n
X
i=1
n
X
i=1
= E[(
=
n
X
i Yi Y 0 ) 2 ]
i Yi Y0 )(
i Yi )(
i=1
n
n
XX
i=1 j=1
n
X
i=1
n
X
i=1
i Yi Y0 )]
i Yi )] 2E[
i j E[Yi Yj ] 2
n
X
n
X
i Yi Y0 ] + E[Y02 ]
i=1
i E[Yi Y0 ] + E[Y02 ]
i=1
but, since m = 0
E[Yi Yj ] = C(xi xj ) + m2 = C(xi xj )
and
E[Y02 ] = C(0) = var[Y ]
is the dispersion variance of Y . Then:
n X
n
X
i=1 j=1
i j C(xi xj ) 2
n
X
i=1
i C(xi x0 )
+ C(0)
j C(xi xj ) 2C(xi x0 ) = 0
E[(Y (x0 ) Y (x0 ))2 ] = 2
i
j=1
j = 1, . . . , n
(1.5)
C(0)
C(x1 x2 ) . . . C(x1 xn )
C=
C(xn x1 )
C(0)
C(x1 x0 )
b=
C(xn x0 )
Matrix C is the spatial covariance matrix and does not depend upon x0 . It can be shown
that if all the xj s are distinct then C is positive definite, and thus the linear system (1.5)
can be solved with either direct or iterative methods. Once the solution vector is obtained,
equation (1.4) yields the estimation of our regionalized variable at point x0 . Thus the calculated
value for is actually function of the estimation point x0 . If we want to change the estimation
point x0 , for example if we need to obtain a spatial distribution of our regionalized variable,
we need to solve the linear system (1.5) for different values of x0 . In this case it is convenient
to factorize matrix C using Cholesky decomposition and then proceed to the solution for the
different right hand side vectors.
Evaluation of the estimation variance The estimation variance is defined as the variance
of the error:
= Y0 Y0
Hence:
but:
X
j
we finally obtain:
X
i
i E[Yi ] E[Y0 ] = 0
(E[Y ] = m = 0)
j C(xi xj ) = C(xi x0 )
var[Y0 Y0 ] = E[(Y0 Y0 )2 ]
XX
X
=
i j C(xi xj ) 2
i C(xi x0 ) + C(0)
i
X
i
i C(xi x0 ) + C(0)
= var[Y ]
P
X
i
i C(xi x0 )
which, since i i C(xi x0 ) > 0, shows that the estimation variance of Y0 is smaller than the
dispersion variance of Y (the real variance of the RF). In statistical terms, we can interpret
this result by saying that since we have observed Y at some points xi then the uncertainty on
Y decreases.
It is important to remark the difference between estimation and dispersion variance. The
latter is representative of the variation interval of the RF Y within the interpolation domain,
while the estimation variance represents the residual uncertainty in the estimation of the realization Y0 of Z when n observations are available. The dispersion variance is a constant, while
the estimation variance varies from point to point and is zero at the observation points.
Our original variable was Z = Y + m and its estimate is thus:
X
Z0 = m +
i (Zi m)
i
var[Z0
1.3
Z0 ] = var[Z0 ]
X
i
i C(xi x0 )
The hypothesis of second order stationarity of the RF is not always satisfied, for example C(0)
increases with the distance, violating hypothesis (1.2). In this case the Intrinsic hypothesis
must be used, in which we assume that the first order increments
= Y (x + h) Y (x)
range
High spatial correlation
Low spatial correlation
C(h)
(h)
range
sill
Figure 1.1: Behavior of the covariance as a function of distance (left) and the corresponding
variogram (right).
are second order RF:
E[Y (x + h) Y (x)] = m(h) = 0
var[Y (x + h) Y (x)] = 2(h)
(1.6)
(1.7)
where the function (h) is called the variogram. If the mean m(h) is not zero an obvious
change of variable is required. The variogram is defined as the mean quadratic increment of
Y (x) (divided by 2) for any two points xi and xj separated by a distance h:
1
1
(h) = var[Y (x + h) Y (x)] = E[(Y (x + h) Y (x))2 ]
2
2
(1.8)
(h) =
The intrinsic hypothesis requires a finite value for the mean of Y (x) but not for its variance.
In fact, hypothesis (1.2), as changed into (1.3), implies (1.8), but not viceversa.
The covariance C(h) has a decreasing behavior as shown in Fig. 1.1. When C(h) is known
then the variogram can be directly calculated. When C(0) is finite, the variogram (h) is
bounded asymptotically by this value. The value of h at which the asymptot can be considered
achieved is called the range, while C(0) is called the sill (see Fig. 1.1).
1.3.1
The variogram
The variogram is usually calculated from the experimental observations, and describes the
spatial structure of the RF. It can be shown [5] that given x1 , . . . , xn are n points belonging to
the domain of interpolation, for all the coefficients 1 , . . . , n R satisfing:
n
X
i = 0
i=1
then
n X
n
X
i=1 j=0
i j (xi xj ) 0
4. spherical variogram:
0<<2
(h) = 1 eh
i
h
2
(h) = 1 e(h)
(h) =
3h
h 3
h
h>
0.95
10
0.8
0.6
=1.5
0.4
=1.0
=0.5
0.2
0.8
0.8
0.6
0.6
0.4
0.4
0.2
0.2
0.2
0.4
0.95
0.6
2/3
0.8
Figure 1.2: Behavior of the most commmonly used variograms: polinomial (top left); exponential (top right); gaussian (bottom left); spherical (bottom right)
Y (x0 ) =
n
X
i Yi
i=1
from the intrinsic hypothesis, i.e. eq. (1.6), we see that our random variable Y (x) must have a
constant mean m, so that:
n
X
E[Y (x0 )] = E[
i Yi ] = m
i=1
i = 1
10
(h)
(h)
random structure
(no correlation)
measured values
nugget effect
h
(h)
h
(h)
nested structure
periodic structure
(h)
hole effect
h
Figure 1.3: Example of typical spatial correletion structures that may be encountered in analyzing measured data
11
The condition of minimum variance becomes now a constrained minimization problem which
can be solve by introducing a lagrange multiplier . The system (1.5) must be rewritten as:
0
(x1 x2 ) . . . (x1 xn ) 1
1
(x1 x0 )
..
.. ..
..
.
.
.
. =
(xn x1 )
1 n (xn x0 )
1
1
...
1
0
1.4
Y (x0 ) =
n
X
i=1
i Yi 20
d. The solution of the linear system does not depend on the observed value but only on xi
and x0 .
e. A map of the estimated regionalized variable, and possibly its confidence intervals, can
be obtained be defining a grid and solving the linear system for each point in the grid.
1.5
We now assume that the observations Yi are affected by measurement errors i , and that:
1. the errors i have zero mean:
E[i ] = 0
i = 1, . . . , n
i 6= j
12
2
1 0
C := C 0 0
0 n2
1.6
The chosen model (in practice the variogram) can be validated by interpolating observed values.
If n observations Y (xi ), i = 1, . . . , n are available, the validation process proceeds as follows:
For each j, j = 1, . . . , n:
discard point (xj , Y (xj ));
estimate the Y (xj ) by solving the kriging system having set x0 = xj and using the
remaining points xi , i 6= j for the interpolation;
evaluate the estimation error j = Yj Yj ,
The model can be considered theoretically valid if the error distribution is approximately
gaussian with zero mean and unit variance (N (0, 1)), i.e. satisfies the following:
1. there is no bias:
1X
i 0
n i=1
13
The uncertainties connected to the choice of the theoretical variogram from the experimental
data can be minimized by anaylizing the validation test. In fact, among all the possible variograms (h), that close to the origin display a slope compatible with the observations and gives
rise to a theoretically coherent model, one can choose the variogram with the smallest value of
Q.
1.7
Computational aspects
In the validation phase n linear systems of dimension n 1 need to be solved. The system
matrices are obtained by dropping one row and one column of the complete kriging matrix.
This can be efficiently accomplished by means of intersections of n 1-dimensional lines with
appropriate coordinate n-dimensional planes.
Note that the kriging matrix C is symmetric, and thus its eigenvalues i are real. However,
since
n
n
X
X
i = Tr(C) =
cii = 0
i=1
i=1
where Tr(C) is the trace of matrix C, it follows that some of the eigenvalues must be negative
and thus C is not positive definite. For this reason, the solution of the linear systems is usually
obtained by means of direct methods, such as Gaussian elimination or Choleski decomposition.
Full Pivoting is often necessary to maintain stability of the algorithm.
1.8
Generally the experimental variogram is most accurate for small values of h, with uncertainties
growing rapidly when h is large. The influence of this problem may be decreased by using
moving neighborhoods. With this variant, only the points that lie within a prefixed radius
R from point x0 are considered, provided that we are left with an adequate number of data
(Fig. 1.4). The radius R is selected so that the lag h will remain within the range of maximum
certainty for (h).
This approach leads also to high saving in the computational cost of the procedure because each linear system is now much smaller (Gaussian elimination has a computational cost
proportional to n3 , where n is the number of equations).
1.9
Detrending
In certain cases the observations display a definite trend that needs to be taken into account.
This is the case, for example, when one needs to interpolate piezometric heads observed from
wells in an aquifer system where a regional gradient is present. To remove the trend from the
data it is possible to work with residuals (= measurements - trend) that have a constant mean.
However this detrending procedure may be dangerous as it may introduce a bias in the results.
For this reason it is important that the trend be recognized not only from the raw data but
14
x0
also from the physical behavior of the system from which the data come. If the trend cannot
be removed from the observations by simple subtraction, the universal kriging approach [2, 3]
can be used.
52
60
75
50
75
60
88
75
78
70
80
66
75
90
4
60
71
73
80
105
80
70
54
70
50
66
102
104
55
90
60
55
45
64
95
75
48
80
70
51
60
90
0
45
1
65
4
40
6
55
7
25
8
1.10
70
([DPSOHRI. U L J L Q J
16
Experimental
variogram
using 25 classes
1100
1000
1000
10
Variogramma (m2)
800
8
700
600
500
300
100
0
0
48
n. coppie
400
200
900
47
39
73 73
72
46
74
77
41
53
7959
14
43
78 61
33
600
500
100
8
149
400
200
21
800
700
10
0
0
111
188
300
13
20
30
180
116
80
177
25
10
Variogramma (m2)
900
Experimental
variogram
using 10 classes
1100
Estimation
variance
Linear variogram = h
0.00
meaningless
0.38
elevation
-0.00
-0.36
0.41
1.68
0.04
-1.17
0.03
0
0.25
4
-0.00
0.40
-0.00 0.20
0.21
-0.53
-0.00
0.73
0.31
-0.27
0.37
-0.00
0.54
0.00
0.34 0.68
-0.24
-0.48
0.07
0.01 -0.23
-0.08
-0.49
-0.63
-0.25
0.17
Kriging reconstruction
is robust evenwhen the
variogram is not accurate
-0.07
0.02
1
0.21
0.05
-0.55
-0.21
1.2
1.1
1
0.9
0.8
0.7
0.6
0.5
0.4
0.3
0.2
0.1
0
First try
-0.00
0.37
-0.53 0.00
6
interpolation error
0.00
8
17
18
Second try
Linear variogram with nugget effect
nugget effect = 41.3
1100
1000
Variogram
800
700
600
500
400
300
200
100
0
0
3 4 5 6 7
Lag Distance (km)
10
(m2)
900
1.09
4.86
-3.71
-2.05
-4.04
-4.10
9.17
-2.59
-3.29
4.61
-5.41 3.41
2.50
2.45
-4.20
7.34
4.50
-0.03
-6.12
10.57
-4.69
7.82
-7.42
-5.60
5.86
-3.19
3.90
1.27
3.83
0.25 -1.79
1.22
1.92
-0.92
0.94
1.21
2.70
1.34
Reconstructed values
are smoothed because of
nugget effect: large
estimation variance
-6.61
2.98
Elevation
-5.87
-2.14
12
11
10
9
8
7
6
5
4
3
2
1
0
Estimation
variance
-5.62
1
5.25
4
-6.32 3.51
6
-5.10
8
19
20
Third try
Variogram without nugget effect and with large slope at the origin
polinomial variogram: = 136
= 0.5
900
(m2)
Variogram
700
600
500
400
300
200
100
0
0
10
800
-6E-005
-3
Elevation
2E-006
-1
-2
0.2
-2
0.9
-0.8
0.5
5
-0.08
-2
0.7
0
-7E-007
-5E-006
5E-005
1
4
-9E-005
3E-007 1
0.9
-3
-2
-1E-005
-3
-1
0.6
-0.4
-3
0.5
0.6
-1
1
Estimation variance is
large far away from
observation points
12
11
10
9
8
7
6
5
4
3
2
1
0
Estimation
variance
-2 4E-005
6
-1E-005
8
21
22
Fourth try
Gaussian variogram: small slope at the origin
= 317
1100
1000
= 2.49
900
(m2)
Variogram
700
600
500
400
300
200
100
0
0
3 4 5 6 7
Lag Distance (km)
10
800
-5E-009 -0.03
7
-0.03
0
0.02
0.04
0.02
-0.001
4
-0.009
-0.08
0.01
0
0.02
4
0.03
7E-005
-3E-005
0.04
-8E-0050.02
0.03
-0.07
3E-010
-0.02
0.03
-0.02
-2E-005
-0.01
0.05 0.08
-0.02
0.004
0.04
0.1
-0.03
-0.009
-0.02 -0.07
-0.02
-0.03
-0.03
0.006
0.02
-0.2
5E-005
Elevation
12
11
10
9
8
7
6
5
4
3
2
1
0
Estimation
variance
-0.0001
-0.02
-0.042E-005
6
8E-008
8
23
24
Bibliography
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in Porous Media, pages 721769, Dordrecht. Martinus Nijhoff Publ.
[2] Delhomme, J. P. (1976). Applications de la th`eorie des varaibles r`egionalis`ees dans les
sciences de leau. Ph.D. thesis, Ecoles des Mines, Fontainebleaus (France).
[3] Delhomme, J. P. (1978). Kriging in the hydrosciences. Adv. Water Resources, 1, 251266.
[4] Matheron, G. (1969). Le krigeage universel. Technical Report 1, Paris School of Mines.
Cah. Cent. Morphol. Math., Fontainbleau.
[5] Matheron, G. (1971). The theory of regionalized variables and its applications. Technical
Report 5, Paris School of Mines. Cah. Cent. Morphol. Math., Fontainbleau.
[6] Volpi, G. and Gambolati, G. (1978). On the use of a main trend for the kriging technique
in hydrology. Adv. Water Resources, 1, 345349.
[7] Volpi, G., Gambolati, G., Carbognin, L., Gatto, P., and Mozzi, G. (1979). Groundwater
contour mapping in venice by stochastic interpolators. 2. results. Water Resour. Res., 15,
291297.
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