Analysis of Circulant Embedding Methods for Sampling Stationary Random Fields

DOI10.1137/17M1149730MaRDI QIDQ4572025zbMATH OpenOpenAlexWikidataFDO

Authors F. Y. Kuo, Dirk Nuyens, I. G. Graham, Robert Scheichl, Ian H. Sloan

Publication date 4 July 2018

Published in SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1710.00751

zbMATH Keywords

circulant embeddingfast Fourier transformGaussian random fieldsMatérn covariancestatistical homogeneity

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Random fields (60G60) Computational methods for problems pertaining to statistics (62-08) Monte Carlo methods (65C05)

Abstract: In this paper we prove, under mild conditions, that the positive definiteness of the circulant matrix appearing in the circulant embedding method is always guaranteed, provided the enclosing cube is sufficiently large. We examine in detail the case of the Mat'ern covariance, and prove (for fixed correlation length) that, as $h_{0}ightarrow0$, positive definiteness is guaranteed when the random field is sampled on a cube of size order $(1+u^{1/2}log{h}_0^{-1})$ times larger than the size of the physical domain. (Here $h_0$ is the mesh spacing of the regular grid and $u$ the Mat'ern smoothness parameter.) We show that the sampling cube can become smaller as the correlation length decreases when $h_0$ and $u$ are fixed. Our results are confirmed by numerical experiments. We prove several results about the decay of the eigenvalues of the circulant matrix. These lead to the conjecture, verified by numerical experiment, that they decay with the same rate as the Karhunen--Lo`{e}ve eigenvalues of the covariance operator.

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Cited in

(35)

• Circulant embedding with QMC: analysis for elliptic PDE with lognormal coefficients
• Fast random field generation with \(H\)-matrices
• Fast sampling of parameterised Gaussian random fields
• Advances in Gaussian random field generation: a review
• Kryging: geostatistical analysis of large-scale datasets using Krylov subspace methods
• Multilevel Monte Carlo estimators for elliptic PDEs with Lévy-type diffusion coefficient
• A fast direct solver for nonlocal operators in wavelet coordinates
• Regularity and convergence analysis in Sobolev and Hölder spaces for generalized Whittle-Matérn fields
• Stochastic modeling of geometrical uncertainties on complex domains, with application to additive manufacturing and brain interface geometries
• Hurst exponent estimation of fractional surfaces for mammogram images analysis
• Goal-oriented adaptive finite element multilevel Monte Carlo with convergence rates
• Initialization of the circulant embedding method to speed up the generation of Gaussian random fields
• Parallel Multilevel Monte Carlo Algorithms for Elliptic PDEs with Random Coefficients
• Multilevel quasi-Monte Carlo integration with product weights for elliptic PDEs with lognormal coefficients
• Multilevel hierarchical decomposition of finite element white noise with application to multilevel Markov chain Monte Carlo
• Sparse Cholesky Factorization by Kullback--Leibler Minimization
• Multilevel Quasi Monte Carlo Methods for Elliptic PDEs with Random Field Coefficients via Fast White Noise Sampling
• A Multilevel Monte Carlo Algorithm for Parabolic Advection-Diffusion Problems with Discontinuous Coefficients
• Unified Analysis of Periodization-Based Sampling Methods for Matérn Covariances
• Optimization-Based Markov Chain Monte Carlo Methods for Nonlinear Hierarchical Statistical Inverse Problems
• Multilevel Hierarchical Decomposition of Finite Element White Noise with Application to Multilevel Markov Chain Monte Carlo
• A Statistical Framework for Generating Microstructures of Two-Phase Random Materials: Application to Fatigue Analysis
• Analysis of Boundary Effects on PDE-Based Sampling of Whittle--Matérn Random Fields
• Recycling samples in the multigrid multilevel (quasi-)Monte Carlo method
• Subordinated Gaussian random fields in elliptic partial differential equations
• Multilevel quasi-Monte Carlo for optimization under uncertainty
• Periodic vector processes with an internal reciprocal dynamics
• On properties and applications of Gaussian subordinated Lévy fields
• Finite elements for Matérn-type random fields: uncertainty in computational mechanics and design optimization
• Smoothed circulant embedding with applications to multilevel Monte Carlo methods for PDEs with random coefficients
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• Sparse inverse Cholesky factorization of dense kernel matrices by greedy conditional selection
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• Modeling spatio-temporal transport: from rigid advection to realistic dynamics

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