A Quasi-Monte Carlo Approach to Particle Simulation of the Heat Equation

DOI10.1137/0730081MaRDI QIDQ4285941zbMATH OpenOpenAlexFDO

Authors William J. Morokoff, Russel Caflisch

Publication date 21 April 1994

Published in SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/0730081

zbMATH Keywords

convergencenumerical examplesvariance reductionheat equationNavier-Stokes equationreaction-diffusion equationexperimental resultsnonlinear Boltzmann equationrandom vortex methodquasi-Monte Carlo simulationMonte Carlo particle simulationquasi-random simulation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Navier-Stokes equations (35Q30) Heat equation (35K05) Reaction-diffusion equations (35K57) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Rarefied gas flows, Boltzmann equation in fluid mechanics (76P05) Applications to the sciences (65Z05)

Recommendations

• Quasi-random simulation of linear kinetic equations
• A particle method for some parabolic equations
• Diffusion in a nonhomogeneous medium: quasi-random walk on a lattice
• scientific article; zbMATH DE number 1103067
• Quasi-Monte Carlo simulation of diffusion in a spatially nonhomogeneous medium

Cited in

(24)

• Fast simulations of stochastic dynamical systems
• A central limit theorem and improved error bounds for a hybrid-Monte Carlo sequence with applications in computational finance
• Error bounds for quasi-Monte Carlo integration with nets
• Quasi-Monte Carlo algorithms for diffusion equations in high dimensions
• Consistency of Markov chain quasi-Monte Carlo on continuous state spaces
• Probabilistically induced domain decomposition methods for elliptic boundary-value problems
• Diffusion in a nonhomogeneous medium: quasi-random walk on a lattice
• Quasi-Monte Carlo simulation of diffusion
• Defects in parallel Monte Carlo and quasi-Monte Carlo integration using the leap-frog technique
• Monte Carlo finite volume element methods for the convection-diffusion equation with a random diffusion coefficient
• A quasi-Monte Carlo Metropolis algorithm
• Particle approximation of convection-diffusion equations
• Monte Carlo integration with quasi-random numbers: Experience with discontinuous integrands
• Optimization of a large-scale water reservoir network by stochastic dynamic programming with efficient state space discretization
• Smoothness and dimension reduction in quasi-Monte Carlo methods
• A particle method for some parabolic equations
• Quasi-Monte Carlo simulation of diffusion in a spatially nonhomogeneous medium
• An algorithm for probabilistic solution of parabolic PDEs
• Quasi-random simulation of linear kinetic equations
• Generalized von Neumann-Kakutani transformation and random-start scrambled Halton sequences
• Radiative heat transfer with quasi-monte carlo methods
• Particle simulations of the Kac model of the Boltzmann equation
• scientific article; zbMATH DE number 822307 (Why is no real title available?)
• High dimensional simulation

Describes a project that uses

Uses Software

• Algorithm 647
• TOMS659

This page was built for publication: A Quasi-Monte Carlo Approach to Particle Simulation of the Heat Equation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4285941)