Sparse approximations of fractional Matérn fields

Abstract: We consider a fast approximation method for a solution of a certain stochastic non-local pseudodifferential equation. This equation defines a Mat\'ern class random field. The approximation method is based on the spectral compactness of the solution. We approximate the pseudodifferential operator with a Taylor expansion. By truncating the expansion, we can construct an approximation with Gaussian Markov random fields. We show that the solution of the truncated version can be constructed with an over-determined system of stochastic matrix equations with sparse matrices. We solve the system of equations with a sparse Cholesky decomposition. We consider the convergence of the discrete approximation of the solution to the continuous one. Finally numerical examples are given.