Parallel Optimized Sampling for Stochastic Equations

DOI10.1137/15M1040098zbMath1353.35324arXiv1502.07186OpenAlexW3101100385MaRDI QIDQ2953226

Simon Kiesewetter, Peter D. Drummond, Bogdan Opanchuk

Publication date: 4 January 2017

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1502.07186

zbMATH Keywords

optimizationparallelstochastic

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Parallel numerical computation (65Y05) PDEs with randomness, stochastic partial differential equations (35R60)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Numerical integration of the Langevin equation: Monte Carlo simulation
• Robust algorithms for solving stochastic partial differential equations
• The Fokker-Planck equation. Methods of solutions and applications.
• Quasi-Monte Carlo integration
• An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations
• Checking the Validity of Truncating the Cumulant Hierarchy Description of a Small System
• Multilevel Monte Carlo Path Simulation
• Approximate Integration of Stochastic Differential Equations
• The Quantum Theory of Nonlinear Optics
• Expansion of the global error for numerical schemes solving stochastic differential equations

This page was built for publication: Parallel Optimized Sampling for Stochastic Equations