A Krylov subspace method for covariance approximation and simulation of random processes and fields
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Publication:1398035
DOI10.1023/A:1023530718764zbMath1056.93020MaRDI QIDQ1398035
Alan S. Willsky, Michael K. Schneider
Publication date: 6 August 2003
Published in: Multidimensional Systems and Signal Processing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1023/a:1023530718764
simulation; matrix square root; conjugate gradient; Krylov subspace; Lanczos; covariance matrix approximation; sample
93C57: Sampled-data control/observation systems
93E03: Stochastic systems in control theory (general)
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