The randomized complexity of initial value problems (Q2483198)
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scientific article; zbMATH DE number 5268294
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| English | The randomized complexity of initial value problems |
scientific article; zbMATH DE number 5268294 |
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The randomized complexity of initial value problems (English)
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28 April 2008
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The randomized solution of initial value problems for ordinary differential equations is studied. Almost optimal bounds on the complexity are known [cf. \textit{B. Kacewicz}, J. Complexity 22, No.~5, 676--690 (2006; Zbl 1111.65063)]. For this purpose algorithms are considered whose error/cost properties improve rapidly from step to step. Using an algorithm based on Taylor Monte Carlo methods, the exact order of the randomized minimal error is established.
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initial value problem
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Monte Carlo algorithm
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complexity
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approximation order
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error order
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0.91609204
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0.9120984
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0.8952952
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