The spectral representation method: A framework for simulation of stochastic processes, fields, and waves

Abstract

The Spectral Representation Method (SRM) was developed in the 1970s to simulate Gaussian stochastic processes and fields from a Fourier series expansion according to the Spectral Representation Theorem. Since those early developments, the SRM has continuously evolved into a comprehensive framework for the simulation of stochastic processes, fields, and waves with a rigorous theoretical foundation. Its major advantages are conceptual simplicity and computational efficiency. In the 1990s, much of the theory for simulation of Gaussian stochastic processes, fields, and waves was firmly established and early methods for simulation of non-Gaussian processes, fields, and waves were introduced. In the 2000s and 2010s, methods that coupled the SRM with Translation Process Theory were improved to enable efficient and accurate simulations of stochastic processes, fields, and waves with strongly non-Gaussian marginal probability distributions. More recently, the SRM was extended for higher-order non-Gaussian processes, fields, and waves by extending the Fourier stochastic expansion to include non-linear wave interactions derived from higher-order spectra. This paper reviews the key theoretical developments related with the SRM and provides the relevant algorithms necessary for its practical implementation for the simulation of stochastic processes, fields, and waves that can be either stationary or non-stationary, homogeneous or non-homogeneous, one-dimensional or multi-dimensional, scalar or multi-variate, Gaussian or non-Gaussian, or any combination thereof. The paper concludes with some brief remarks addressing the open research challenges in SRM-based theory and simulations.