Fast random field generation with H-matrices
Fast random field generation with H-matrices
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DOI：
10.1007/s00211-018-0974-2
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发表时间：
2018-11-01
影响因子：
2.1
通讯作者：
Sloan, Ian H.
中科院分区：
文献类型：
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作者：
Feischl, Michael;Kuo, Frances Y.;Sloan, Ian H.
我们使用H-Matrix技术以线性成本计算协方差矩阵的近似平方根。这使我们能够以最佳成本生成正常和对数正常的随机字段。我们得出严格的误差估计值，该估计显示该方法的收敛性。我们的方法仅需要对协方差函数和点集的温和假设。因此，它可能也是仅适用于常规网格和固定协方差函数的循环嵌入方法的一个不错的选择。
We use the H-matrix technology to compute the approximate square root of a covariance matrix in linear cost. This allows us to generate normal and log-normal random fields on general point sets with optimal cost. We derive rigorous error estimates which show convergence of the method. Our approach requires only mild assumptions on the covariance function and on the point set. Therefore, it might be also a nice alternative to the circulant embedding approach which applies only to regular grids and stationary covariance functions.