A Quasi-Monte Carlo Approach to Particle Simulation of the Heat Equation
DOI10.1137/0730081zbMATH Open0796.65141OpenAlexW1991844320MaRDI QIDQ4285941FDOQ4285941
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
Recommendations
convergencenumerical examplesvariance reductionheat equationNavier-Stokes equationreaction-diffusion equationexperimental resultsnonlinear Boltzmann equationrandom vortex methodquasi-Monte Carlo simulationMonte Carlo particle simulationquasi-random simulation
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)
Cited In (24)
- Error bounds for quasi-Monte Carlo integration with nets
- A central limit theorem and improved error bounds for a hybrid-Monte Carlo sequence with applications in computational finance
- 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
- Defects in parallel Monte Carlo and quasi-Monte Carlo integration using the leap-frog technique
- Quasi-Monte Carlo simulation of diffusion
- 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
- An algorithm for probabilistic solution of parabolic PDEs
- Smoothness and dimension reduction in quasi-Monte Carlo methods
- Quasi-Monte Carlo simulation of diffusion in a spatially nonhomogeneous medium
- A particle method for some parabolic equations
- Generalized von Neumann-Kakutani transformation and random-start scrambled Halton sequences
- Quasi-random simulation of linear kinetic equations
- Radiative heat transfer with quasi-monte carlo methods
- Title not available (Why is that?)
- Particle simulations of the Kac model of the Boltzmann equation
- High dimensional simulation
- Fast simulations of stochastic dynamical systems
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