Initialization of the circulant embedding method to speed up the generation of Gaussian random fields

DOI10.5802/SMAI-JCM.89MaRDI QIDQ2679841zbMATH OpenOpenAlexFDO

Authors G. Pichot, Simon Legrand, Michel Kern, Nathanael Tepakbong-Tematio

Publication date 26 January 2023

Published in The SMAI journal of computational mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.5802/smai-jcm.89

zbMATH Keywords

circulant embedding methodfast Fourier transformMatérn covariancesstationary Gaussian random fields

Mathematics Subject Classification ID

Computational methods for problems pertaining to probability theory (60-08) Stationary stochastic processes (60G10) Gaussian processes (60G15) Random fields (60G60) Monte Carlo methods (65C05) Geostatistics (86A32)

Recommendations

• Analysis of Circulant Embedding Methods for Sampling Stationary Random Fields
• Fast generation of isotropic Gaussian random fields on the sphere
• An Algorithm for Simulating Stationary Gaussian Random Fields
• Efficient generation of conditional simulations by Chebyshev matrix polynomial approximations to the symmetric square root of the covariance matrix
• Fast random field generation with \(H\)-matrices

Cites work

• Advances in Gaussian random field generation: a review
• An introduction to computational stochastic PDEs
• Analysis of Circulant Embedding Methods for Sampling Stationary Random Fields
• Convergence analysis of macro spreading in 3D heterogeneous porous media
• Fast and Exact Simulation of Stationary Gaussian Processes through Circulant Embedding of the Covariance Matrix
• Fast random field generation with \(H\)-matrices
• Karhunen-Loève approximation of random fields by generalized fast multipole methods
• Quasi-Monte Carlo methods for elliptic PDEs with random coefficients and applications
• Unified Analysis of Periodization-Based Sampling Methods for Matérn Covariances

Cited in

(5)

• Exact simulation of complex-valued Gaussian stationary processes via circulant embedding
• Fast random field generation with \(H\)-matrices
• On simulation of a fractional Ornstein-Uhlenbeck process of the second kind by the circulant embedding method
• Analysis of Circulant Embedding Methods for Sampling Stationary Random Fields
• Effective generation of compressed stationary Gaussian fields

Describes a project that uses

Uses Software

• RngSteam
• FFTW

This page was built for publication: Initialization of the circulant embedding method to speed up the generation of Gaussian random fields

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2679841)