Quasi-Monte Carlo methods for elliptic PDEs with random coefficients and applications

DOI10.1016/j.jcp.2011.01.023zbMath1218.65009OpenAlexW2052271668MaRDI QIDQ544544

Dirk Nuyens, Frances Y. Kuo, Ivan G. Graham, Robert Scheichl, Ian H. Sloan

Publication date: 15 June 2011

Published in: Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL: http://opus.bath.ac.uk/23657/1/Graham_JCP_2011_230_10_3668.pdf

zbMATH Keywords

convergencenumerical experimentsfinite elementfast Fourier transformquasi-Monte Carlo methodsfluid flowrandom porous mediacirculant embeddinghigh-dimensional quadraturenonlinear functionals

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Flows in porous media; filtration; seepage (76S05) Stochastic analysis applied to problems in fluid mechanics (76M35) Stability and convergence of numerical methods for boundary value problems involving PDEs (65N12) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Uses Software

• FFTW
• mctoolbox
• AS 312
• sobol.cc

Cites Work

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