Efficient approximation of random fields for numerical applications. Issue 4 (26th February 2015)

• Record Type: Journal Article
• Authors: Harbrecht, Helmut; Peters, Michael; Siebenmorgen, Markus
• Is Part Of: Numerical linear algebra with applications. Volume 22:Issue 4(2015:Jul.)
• Page Start: 596
• Page End: 617
• Publication Date: 2015-02-26
• Subjects: Algebras, Linear -- Periodicals; 512.5
• DOI: 10.1002/nla.1976
• Languages: English
• ISSNs: 1070-5325

Abstract

<abstract abstract-type="main" id="nla1976-abs-0001"> <title>Summary</title> <p id="nla1976-para-0001">This article is dedicated to the rapid computation of separable expansions for the approximation of random fields. We consider approaches based on techniques from the approximation of non‐local operators on the one hand and based on the pivoted Cholesky decomposition on the other hand. Especially, we provide an <italic>a posteriori</italic> error estimate for the pivoted Cholesky decomposition in terms of the trace. Numerical examples are provided to validate and quantify the presented methods. Copyright © 2015 John Wiley &amp; Sons, Ltd.</p> </abstract>