Fast random field generation with \(H\)-matrices

DOI10.1007/s00211-018-0974-2zbMath1404.65033arXiv1702.08637OpenAlexW2964191339WikidataQ129726799 ScholiaQ129726799MaRDI QIDQ1616019

Michael Feischl, Ian H. Sloan, Frances Y. Kuo

Publication date: 31 October 2018

Published in: Numerische Mathematik (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1702.08637

zbMATH Keywords

covariance matrixrandom field generationapproximate square root

Mathematics Subject Classification ID

Computational methods for sparse matrices (65F50) Numerical methods for matrix equations (65F45)

Related Items (17)

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Uses Software

• hlib
• AS 312

Cites Work

• Unnamed Item
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• Hierarchical Matrices: Algorithms and Analysis
• Rational Lanczos approximations to the matrix square root and related functions
• Efficient approximation of random fields for numerical applications
• Fast and Exact Simulation of Stationary Gaussian Processes through Circulant Embedding of the Covariance Matrix
• An Algorithm for Simulating Stationary Gaussian Random Fields
• Rational Iterative Methods for the Matrix Sign Function

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