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The practice of fast conditional simulations through the LU decomposition of the covariance matrix

Abstract

The LU-matrix approach to conditional simulations allows fast generation of large numbers of realizations for a given stochastic process. Simplicity, flexibility, and quality are its main advantages. Its implementation for cases where dense grids and/or large numbers of conditioning data cause computational problems is discussed. A case study is presented.

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Alabert, F. The practice of fast conditional simulations through the LU decomposition of the covariance matrix. Math Geol 19, 369–386 (1987). https://doi.org/10.1007/BF00897191

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  • DOI: https://doi.org/10.1007/BF00897191

Key words

  • Geostatistics
  • conditional simulations
  • LU decomposition