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Fast Karhunen-Loève Expansions via FFT-Accelerated Toeplitz Operators
Gaussian random fields are a versatile tool used in the fields of stochastic PDEs, uncertainty quantification, and geostatistical simulation. One way to obtain them is to use a truncated Karhunen-Loève expansion (KLE). Computing the expansion requires the leading eigenpairs of an $N \times N$ covari
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