SIAM Conference on Uncertainty Quantification (SIAM UQ2016), Date: 2016/04/05 - 2016/04/08, Location: Lausanne, Switzerland
Publication date:
2016-04-01
Author:
Nuyens, Dirk
Graham, Ivan G ; Kuo, Frances Y ; Scheichl, Rob S ; Sloan, Ian H
Keywords:
Quasi-Monte Carlo methods, Circulant embedding, Infinite-dimensional integration, Uncertainty quantification
Abstract:
We generalise and study the convergence analysis of a method which was computationally presented by the authors in J. Comp. Phys. in 2011, where a quasi-Monte Carlo method combined with a circulant embedding/FFT method was used to sample from a lognormal random field. The method allows to sample form very rough random fields without the need to truncate a KL series expansion.