Communications in Applied Mathematics and Computational Science

On a scalable nonparametric denoising of time series signals

Lukáš Pospíšil, Patrick Gagliardini, William Sawyer, and Illia Horenko

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Abstract

Denoising and filtering of time series signals is a problem emerging in many areas of computational science. Here we demonstrate how the nonparametric computational methodology of the finite element method of time series analysis with H 1 regularization can be extended for denoising of very long and noisy time series signals. The main computational bottleneck is the inner quadratic programming problem. Analyzing the solvability and utilizing the problem structure, we suggest an adapted version of the spectral projected gradient method (SPG-QP) to resolve the problem. This approach increases the granularity of parallelization, making the proposed methodology highly suitable for graphics processing unit (GPU) computing. We demonstrate the scalability of our open-source implementation based on PETSc for the Piz Daint supercomputer of the Swiss Supercomputing Centre (CSCS) by solving large-scale data denoising problems and comparing their computational scaling and performance to the performance of the standard denoising methods.

Article information

Source
Commun. Appl. Math. Comput. Sci., Volume 13, Number 1 (2018), 107-138.

Dates
Received: 20 June 2017
Accepted: 30 October 2017
First available in Project Euclid: 28 March 2018

Permanent link to this document
https://projecteuclid.org/euclid.camcos/1522202441

Digital Object Identifier
doi:10.2140/camcos.2018.13.107

Mathematical Reviews number (MathSciNet)
MR3778322

Zentralblatt MATH identifier
1385.37084

Subjects
Primary: 37M10: Time series analysis 62-07: Data analysis 62H30: Classification and discrimination; cluster analysis [See also 68T10, 91C20] 65Y05: Parallel computation 90C20: Quadratic programming

Keywords
time series analysis quadratic programming SPG-QP regularization

Citation

Pospíšil, Lukáš; Gagliardini, Patrick; Sawyer, William; Horenko, Illia. On a scalable nonparametric denoising of time series signals. Commun. Appl. Math. Comput. Sci. 13 (2018), no. 1, 107--138. doi:10.2140/camcos.2018.13.107. https://projecteuclid.org/euclid.camcos/1522202441


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