A Block Circulant Embedding Method for Simulation of Stationary Gaussian Random Fields on Block-regular Grids

Abstract

We propose a new method for sampling from stationary Gaussian random field on a grid which is not regular but has a regular block structure which is often the case in applications. The introduced block circulant embedding method (BCEM) can outperform the classical circulant embedding method (CEM) which requires a regularization of the irregular grid before its application. Comparison of BCEM vs CEM is performed on some typical model problems.

[17 pages, 8 figures] We added Remarks 2.1, 3.1, 3.2, and Example 1.3 and removed the Appendix which is now summarized in Remark 2.1

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