Abstract
This paper presents a new approach to the LU decomposition method for the simulation of stationary and ergodic random fields. The approach overcomes the size limitations of LU and is suitable for any size simulation. The proposed approach can facilitate fast updating of generated realizations with new data, when appropriate, without repeating the full simulation process. Based on a novel column partitioning of the L matrix, expressed in terms of successive conditional covariance matrices, the approach presented here demonstrates that LU simulation is equivalent to the “successive” solution of kriging residual estimates plus random terms. Consequently, it can be used for the LU decomposition of matrices of any size. The simulation approach is termed “conditional simulation by successive residuals” as at each step, a small set (group) of random variables is simulated with a LU decomposition of a matrix of updated conditional covariance of residuals. The simulated group is then used to estimate residuals without the need to solve large systems of equations.
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Vargas-Guzmán, J.A., Dimitrakopoulos, R. Conditional Simulation of Random Fields by Successive Residuals. Mathematical Geology 34, 597–611 (2002). https://doi.org/10.1023/A:1016099029432
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DOI: https://doi.org/10.1023/A:1016099029432