Wavelet decompose uses wavelet scales to turn the current layer into a set of layers with each holding a different type of pattern that is visible within the image. This is used in texture and pattern making to remove unwanted noise quickly from a texture.
You can find it under.
When you select it, it will ask for the amount of wavelet scales. More scales, more different layers. Press OK, and it will generate a group layer containing the layers with their proper blending modes:
Adjust a given layer with middle gray to neutralize it, and merge everything with the Grain Merge blending mode to merge it into the end image properly.