Karhunen-Loève approximation of random fields by generalized fast multipole methods

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DOI10.1016/j.jcp.2006.01.048zbMath1104.65008OpenAlexW2062993069MaRDI QIDQ2506720

Radu Alexandru Todor, Christoph Schwab

Publication date: 10 October 2006

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

Full work available at URL: https://doi.org/10.1016/j.jcp.2006.01.048

zbMATH Keywords

exponential convergence Karhunen-Loève expansion Ritz-Galerkin approximation non-stationary random field \(M\)-term approximate accelerated matrix-vector multiplication generalized fast multipole method Karhunen-Loève eigenvalue problem

Mathematics Subject Classification ID

Random fields (60G60) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods for eigenvalue problems for boundary value problems involving PDEs (65N25)

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Cites Work

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