Expansion of random field gradients using hierarchical matrices
نویسندگان
چکیده
We present two expansions for the gradient of a random field. In the first approach, we differentiate its truncated KarhunenLoève expansion. In the second approach, the Karhunen-Loève expansion of the random field gradient is computed directly. Both strategies require the solution of dense, symmetric matrix eigenvalue problems which can be handled efficiently by combining hierachical matrix techniques with a thick-restart Lanczos method.
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