Low-Rank Tensor Approximation for High-Order Correlation Functions of Gaussian Random Fields

DOI10.1137/140968938zbMath1322.65027OpenAlexW434969687MaRDI QIDQ2945158

Rajesh Kumar, Fabio Nobile, Daniel Kressner, Christine Tobler

Publication date: 9 September 2015

Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/55e221dc0dd90d9b80f4cc8b6808fbbd1f6fa6e0

zbMATH Keywords

algorithmlow-rank approximationGaussian random fieldsKarhunen-Loève expansion\(n\)-point correlationstensor train decomposition

Mathematics Subject Classification ID

Related Items (7)

Randomized Algorithms for Rounding in the Tensor-Train Format ⋮ Parallel Algorithms for Computing the Tensor-Train Decomposition ⋮ Numerical solution of a class of third order tensor linear equations ⋮ Covariance regularity and \(\mathcal {H}\)-matrix approximation for rough random fields ⋮ Tensor train approximation of moment equations for elliptic equations with lognormal coefficient ⋮ Analysis of Boundary Effects on PDE-Based Sampling of Whittle--Matérn Random Fields ⋮ Parallel Algorithms for Tensor Train Arithmetic

Uses Software

• constr_tt

Cites Work

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• Sparse tensor edge elements
• Approximation rates for the hierarchical tensor format in periodic Sobolev spaces
• ANALYTIC REGULARITY AND POLYNOMIAL APPROXIMATION OF PARAMETRIC AND STOCHASTIC ELLIPTIC PDE'S
• Tensor Spaces and Numerical Tensor Calculus
• Solution of Linear Systems and Matrix Inversion in the TT-Format
• Random Fields and Geometry
• First order $k$-th moment finite element analysis of nonlinear operator equations with stochastic data

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