karhunen loeve Definition and Topics - 5 Discussions

In the theory of stochastic processes, the Karhunen–Loève theorem (named after Kari Karhunen and Michel Loève), also known as the Kosambi–Karhunen–Loève theorem is a representation of a stochastic process as an infinite linear combination of orthogonal functions, analogous to a Fourier series representation of a function on a bounded interval. The transformation is also known as Hotelling transform and eigenvector transform, and is closely related to principal component analysis (PCA) technique widely used in image processing and in data analysis in many fields.Stochastic processes given by infinite series of this form were first considered by Damodar Dharmananda Kosambi. There exist many such expansions of a stochastic process: if the process is indexed over [a, b], any orthonormal basis of L2([a, b]) yields an expansion thereof in that form. The importance of the Karhunen–Loève theorem is that it yields the best such basis in the sense that it minimizes the total mean squared error.
In contrast to a Fourier series where the coefficients are fixed numbers and the expansion basis consists of sinusoidal functions (that is, sine and cosine functions), the coefficients in the Karhunen–Loève theorem are random variables and the expansion basis depends on the process. In fact, the orthogonal basis functions used in this representation are determined by the covariance function of the process. One can think that the Karhunen–Loève transform adapts to the process in order to produce the best possible basis for its expansion.
In the case of a centered stochastic process {Xt}t ∈ [a, b] (centered means E[Xt] = 0 for all t ∈ [a, b]) satisfying a technical continuity condition, Xt admits a decomposition





X

t


=



k
=
1






Z

k



e

k


(
t
)


{\displaystyle X_{t}=\sum _{k=1}^{\infty }Z_{k}e_{k}(t)}
where Zk are pairwise uncorrelated random variables and the functions ek are continuous real-valued functions on [a, b] that are pairwise orthogonal in L2([a, b]). It is therefore sometimes said that the expansion is bi-orthogonal since the random coefficients Zk are orthogonal in the probability space while the deterministic functions ek are orthogonal in the time domain. The general case of a process Xt that is not centered can be brought back to the case of a centered process by considering Xt − E[Xt] which is a centered process.
Moreover, if the process is Gaussian, then the random variables Zk are Gaussian and stochastically independent. This result generalizes the Karhunen–Loève transform. An important example of a centered real stochastic process on [0, 1] is the Wiener process; the Karhunen–Loève theorem can be used to provide a canonical orthogonal representation for it. In this case the expansion consists of sinusoidal functions.
The above expansion into uncorrelated random variables is also known as the Karhunen–Loève expansion or Karhunen–Loève decomposition. The empirical version (i.e., with the coefficients computed from a sample) is known as the Karhunen–Loève transform (KLT), principal component analysis, proper orthogonal decomposition (POD), empirical orthogonal functions (a term used in meteorology and geophysics), or the Hotelling transform.

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  1. F

    Problem calculating eigenvalues and eigenvectors

    Hello everyone. I am trying to construct a functioning version of randomfields (specifically 2D_karhunen_loeve_identification_example.py) in Matlab. For that, I have to calculate the Karhunen-Loève expansion of 2D data, since this is what it says in the documentation. I also have some sample...
  2. C

    A Has anybody programmed the mcKL expansion?

    Hello everyone. I am trying to implement the mcKL expansion proposed in this article using Matlab and two vectors of correlated data of size 1000*50, meaning 50 realizations of two random processes measured 1000 times. As the article says, if two stochastic processes are correlated, one cannot...
  3. C

    KarhunenLoeveDecomposition function in Mathematica

    Hello everyone. I have a vector, stochasticData.mat, it contains a matrix of size 211302*50, being 211302 measurements of 50 realizations of a stochsatic process. I want to use the Karhunen-Loève expansion and the software Mathematica to calculate the uncorrelated random variables. For that, I...
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    I Differences between the PCA function and Karhunen-Loève expansion

    Hello everyone. I am currently using the pca function from matlab on a gaussian process. Matlab's pca offers three results. Coeff, Score and Latent. Latent are the eigenvalues of the covariance matrix, Coeff are the eigenvectors of said matrix and Score are the representation of the original...
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    I Karhunen Loeve Expansion in Matlab

    Hello everyone. I am trying to generate the KL expansion of a stochastic process. I use a Monte Carlo sampling method to generate the process, which involves two random variables and I compare it with it's theoretical mean for 50 values of time and they look quite similar. Then, I calculate the...
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