Abstract
The square-root method provides a simple and computationally inexpensive way to generate multidimensional Gaussian random fields. It is applied by factoring the multidimensional covariance operator analytically, then sampling the factorization at discrete points to compute an array of weighted averages that can be convolved with an array of random normal deviates to generate a correlated random field. In many respects this is similar to the LUdecomposition method and to the one-dimensional method of moving averages. However it has been assumed that the method of moving averages could not be used in higher dimensions, whereas direct application of the matrix decomposition approach is too expensive to be practical on large grids.
In this paper, I show that it is possible to calculate the square root of many two- and three dimensional covariance operators analytically so that the method of moving averages can be applied directly to the problem of multidimensional simulation. A few numerical examples of nonconditional simulation on a 256×256 grid that show the simplicity of the method are included. The method is fast and can be applied easily to nested and anisotropic variograms.
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Oliver, D.S. Moving averages for Gaussian simulation in two and three dimensions. Math Geol 27, 939–960 (1995). https://doi.org/10.1007/BF02091660
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DOI: https://doi.org/10.1007/BF02091660