Premium
Efficient approximation of random fields for numerical applications
Author(s) -
Harbrecht Helmut,
Peters Michael,
Siebenmorgen Markus
Publication year - 2015
Publication title -
numerical linear algebra with applications
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.02
H-Index - 53
eISSN - 1099-1506
pISSN - 1070-5325
DOI - 10.1002/nla.1976
Subject(s) - cholesky decomposition , computation , mathematics , trace (psycholinguistics) , a priori and a posteriori , decomposition , separable space , mathematical optimization , field (mathematics) , random field , algorithm , mathematical analysis , statistics , pure mathematics , ecology , linguistics , eigenvalues and eigenvectors , physics , philosophy , epistemology , quantum mechanics , biology
Summary 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 a posteriori 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 & Sons, Ltd.