Production of conditional simulations via the LU triangular decomposition of the covariance matrix |
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| Authors: | Michael W Davis |
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| Institution: | (1) Department of Applied Earth Sciences, Stanford University, 94305 Stanford, California |
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| Abstract: | This paper reviews the turning band method and fast Fourier transform method of producing a nonconditional simulation of a multinormal random function with a given covariance structure. A review of the two common methods of conditioning the simulation to honor the data shows that they are formally equivalent. Another method for directly pondering a conditional simulation based on the LU triangular decomposition of the covariance matrix is presented. Computational and implementation difficulties are discussed. |
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| Keywords: | geostatistics kriging conditional simulation fast Fourier transform |
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