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

DOI10.5802/smai-jcm.89zbMath1505.65004OpenAlexW4309180572MaRDI QIDQ2679841

Nathanael Tepakbong-Tematio, Géraldine Pichot, Michel Kern, Simon Legrand

Publication date: 26 January 2023

Published in: 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

fast Fourier transformMatérn covariancesstationary Gaussian random fieldscirculant embedding method

Mathematics Subject Classification ID

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

Uses Software

• FFTW
• RngSteam

Cites Work

• Quasi-Monte Carlo methods for elliptic PDEs with random coefficients and applications
• Fast random field generation with \(H\)-matrices
• Advances in Gaussian random field generation: a review
• Karhunen-Loève approximation of random fields by generalized fast multipole methods
• An Introduction to Computational Stochastic PDEs
• 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
• Analysis of Circulant Embedding Methods for Sampling Stationary Random Fields
• Unified Analysis of Periodization-Based Sampling Methods for Matérn Covariances