SciCADE 2013
International Conference on Scientific Computation and Differential Equations
September 16-20, 2013, Valladolid (Spain)

Invited Talk

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Numerical Analysis of Gaussian Random Field Generators

T. Shardlow

Abstract
We look at sampling Gaussian random fields with the eyes of a numerical analyst and consider the error analysis of some established algorithms. In particular, we consider the circulant embedding and turning bands method, along with methods based on the Wiener-Khintchine theorem and the Karhunen-Loeve expansion.

Organized by         Universidad de Valladolid     IMUVA