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International Journal for Uncertainty Quantification

Impact factor: 0.967

ISSN Print: 2152-5080
ISSN Online: 2152-5099

Open Access

International Journal for Uncertainty Quantification

DOI: 10.1615/Int.J.UncertaintyQuantification.2015013781
pages 527-544

A BLOCK CIRCULANT EMBEDDING METHOD FOR SIMULATION OF STATIONARY GAUSSIAN RANDOM FIELDS ON BLOCK-REGULAR GRIDS

Min Ho Park
School of Mathematical Sciences, University of Nottingham, Nottingham, NG7 2RD, United Kingdom
M.V. Tretyakov
School of Mathematical Sciences, University of Nottingham, Nottingham, NG7 2RD, United Kingdom

ABSTRACT

We propose a new method for sampling from a stationary Gaussian random field on a grid which is not regular but has a regular block structure, which is often the case in applications. The introduced block-circulant embedding method (BCEM) can outperform the classical circulant embedding method (CEM), which requires a regularization of the irregular grid before its application. Comparison of BCEM vs CEM is performed on typical model problems.