Monte Carlo algorithm for vector-valued Gaussian functions with preset component accuracies
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DOI: 10.1515/mcma-2017-0112
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- Sabelfeld, K.K. & Mozartova, N.S., 2011. "Sparsified Randomization algorithms for low rank approximations and applications to integral equations and inhomogeneous random field simulation," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 82(2), pages 295-317.
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Keywords
Karhunen–Loève series; Monte Carlo; orthonormal systems and bases; parametric models; stochastic dimension; vector-valued random functions;All these keywords.
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