Karhunen-Loeve Expansions for Gaussian Random Fields in Python

This package has the sole purpose of constructing Karhunen-Loeve Expansions (KLE) of Gaussian Random Fields given their covariance function. At the moment we only do what is known as Discrete (KLE).

Demos

Here are a few demos:

• demos/demo1.py: How to construct the Discrete KLE of a field and sample it.