Relative efficiency of Gaussian stochastic process sampling procedures.

DOI10.1016/J.JCP.2003.07.012zbMath1037.65008OpenAlexW2015306612MaRDI QIDQ1418671

Chris J. Cameron

Publication date: 14 January 2004

Published in: Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jcp.2003.07.012

zbMATH Keywords

samplingcomputational complexitynumerical examplesquadrature methodGaussian stochastic processesKolmogorov spectrumFourier-wavlet methodrandom wave numbers

Mathematics Subject Classification ID

Numerical methods for wavelets (65T60) Stochastic integrals (60H05)

Related Items (6)

Data-driven model reduction, Wiener projections, and the Koopman-Mori-Zwanzig formalism ⋮ Randomized spectral and Fourier-wavelet methods for multidimensional Gaussian random vector fields ⋮ Random field sampling for a simplified model of melt-blowing considering turbulent velocity fluctuations ⋮ On the existence and scaling of structure functions in turbulence according to the data ⋮ Comparative analysis of multiscale Gaussian random field simulation algorithms ⋮ Stochastic Spectral and Fourier-Wavelet Methods for Vector Gaussian Random Fields

Cites Work

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• Parallel processing of random number generation for Monte Carlo turbulence simulation
• A wavelet Monte Carlo method for turbulent diffusion with many spatial scales
• A Fourier-wavelet Monte Carlo method for fractal random fields
• Ten Lectures on Wavelets

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