Quasirandom walk methods (Q4549491)
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scientific article; zbMATH DE number 1790426
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| English | Quasirandom walk methods |
scientific article; zbMATH DE number 1790426 |
Statements
28 August 2002
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diffusions
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fractional step
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quasi-Monte Carlo
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stochastic particle methods
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quasi-random walk methods
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error reduction
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0.8825986385345459
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0.8211756348609924
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0.8143768906593323
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0.7959848046302795
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Quasirandom walk methods (English)
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The paper applies quasi-Monte Carlo techniques to stochastic particle methods for partial differential equations. Diffusions are simulated using random walk methods. The random variables are replaced by quasi random points. The examples show that quasi-random walk methods are feasible. They can even produce more accurate results than the standard random walk method. Fractional step schemes can be easily applied. The error reduction for quasi-random walk is limited as the spatial dimension increases. For the entire collection see [Zbl 0980.00040].
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