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Production of conditional simulations via the LU triangular decomposition of the covariance matrix

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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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Davis, M.W. Production of conditional simulations via the LU triangular decomposition of the covariance matrix. Math Geol 19, 91–98 (1987). https://doi.org/10.1007/BF00898189

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  • DOI: https://doi.org/10.1007/BF00898189

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