Fast generation of isotropic Gaussian random fields on the sphere
Artikel i vetenskaplig tidskrift, 2018

The efficient simulation of isotropic Gaussian random fields on the unit sphere is a task encountered frequently in numerical applications. A fast algorithm based on Markov properties and fast Fourier transforms in 1d is presented that generates samples on an n x n grid in O(n(2) log n). Furthermore, an efficient method to set up the necessary conditional covariance matrices is derived and simulations demonstrate the performance of the algorithm. An open source implementation of the code has been made available at

isotropic random fields

Gaussian Markov random fields

fast Fourier transform

Gaussian random fields

efficient simulation


Peter E. Creasey

University of California at Riverside

Annika Lang

Göteborgs universitet

Chalmers, Matematiska vetenskaper, Tillämpad matematik och statistik

Monte Carlo Methods and Applications

0929-9629 (ISSN) 15693961 (eISSN)

Vol. 24 1 1-11


Sannolikhetsteori och statistik


Annan elektroteknik och elektronik



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