Fast simulation of Gaussian random fields

TL;DR

This paper introduces algorithms utilizing Fourier transforms to efficiently generate correlated Gaussian random fields in multiple dimensions, with detailed complexity analysis, simulation results, and error assessments.

Contribution

It presents novel algorithms for rapid simulation of Gaussian random fields using Fourier transforms, improving computational efficiency over existing methods.

Findings

Algorithms achieve reduced computational complexity.

Simulation results validate accuracy and efficiency.

Error analysis demonstrates reliability of the methods.

Abstract

Fast Fourier transforms are used to develop algorithms for the fast generation of correlated Gaussian random fields on d-dimensional rectangular regions. The complexities of the algorithms are derived, simulation results and error analysis are presented.