Edmond Chow, Yousef Saad. Preconditioned Krylov Subspace Methods for Sampling Multivariate Gaussian Distributions. SIAM J. Scientific Computing, 36(2), 2014. [doi]
@article{ChowS14,
title = {Preconditioned Krylov Subspace Methods for Sampling Multivariate Gaussian Distributions},
author = {Edmond Chow and Yousef Saad},
year = {2014},
doi = {10.1137/130920587},
url = {http://dx.doi.org/10.1137/130920587},
researchr = {https://researchr.org/publication/ChowS14},
cites = {0},
citedby = {0},
journal = {SIAM J. Scientific Computing},
volume = {36},
number = {2},
}