Monte Carlo approximation of weakly singular integral operators

DOI10.1016/J.JCO.2005.11.002MaRDI QIDQ2489142zbMATH OpenOpenAlexFDO

Authors Stefan Heinrich

Publication date 16 May 2006

Published in Journal of Complexity (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jco.2005.11.002

zbMATH Keywords

complexityconvergencelower boundsmultilevel Monte Carlo methodPoisson equationweakly singular integral operator

Mathematics Subject Classification ID

Laplace operator, Helmholtz equation (reduced wave equation), Poisson equation (35J05) Integral operators (45P05) Monte Carlo methods (65C05) Boundary element methods for boundary value problems involving PDEs (65N38) Numerical methods for integral equations (65R20)

Review text

This paper presents a multilevel Monte Carlo method for the approximation of singular integral operators. Then its convergence rate is analyzed. Moreover, optimality of the method is established based on the discussion on its lower bound and complexity. The proposed method is applied to obtain the solution of the Poisson equation in a \(d\)-dimensional ball with homogeneous Dirichlet boundary conditions.

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Cited in

(32)

• Monte Carlo methods for uniform approximation on periodic Sobolev spaces with mixed smoothness
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