Quasi-randomized numerical methods for systems with coefficients of bounded variation
error boundsinitial value problemsMonte Carlo simulationnumerical experimentrandomized Runge-Kutta methodssystems
Nonlinear ordinary differential equations and systems (34A34) Monte Carlo methods (65C05) Numerical methods for initial value problems involving ordinary differential equations (65L05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Error bounds for numerical methods for ordinary differential equations (65L70)
This paper is concerned with the numerical solution of initial value problems for systems of first order differential equations \( y' = f (t,y)\) where \(f \) is smooth with respect to \( y \) but of bounded variation in \(t\). The methods under consideration are formally similar to one- and two stage Runge-Kutta methods, however the discretization with respect to the variable \(t\) is carried out with Monte Carlo simulation. The author proposes first and second order methods that consider quasi random times for the simulation. It is proved that, in spite of the random approximation in \(t\), error bounds in powers of the size of the step can be derived. Finally some numerical experiments with the linear non homogeneous test equation \( y' = y + \mu \sin ( \cos ( \lambda t))\) for several values of parameters \( \mu \) and \( \lambda \) are presented to show that a quasi random choice is preferred to the pseudo-random option in order to get smaller errors.
- A quasi-randomized Runge-Kutta method
- A randomized quasi-Monte Carlo algorithms for some boundary value problems
- Quasi-Monte Carlo methods for elliptic PDEs with random coefficients and applications
- Quasi-Monte Carlo finite element methods for a class of elliptic partial differential equations with random coefficients
- Multilevel Designed Quadrature for Partial Differential Equations with Random Inputs
- Mean Square Convergent Numerical Methods for Nonlinear Random Differential Equations
- Application of Quasi-Monte Carlo methods to PDEs with random coefficients -- an overview and tutorial
- Quasi-Monte Carlo finite element methods for elliptic PDEs with lognormal random coefficients
- Convergence of quasi-optimal stochastic Galerkin methods for a class of PDES with random coefficients
- Analysis of quasi-Monte Carlo methods for elliptic eigenvalue problems with stochastic coefficients
- A quasi-randomized Runge-Kutta method
- Error analysis of a randomized numerical method
- scientific article; zbMATH DE number 53679 (Why is no real title available?)
- scientific article; zbMATH DE number 3999169 (Why is no real title available?)
- scientific article; zbMATH DE number 3440485 (Why is no real title available?)
- Monte Carlo and quasi-Monte Carlo methods 1996. Proceedings of a conference at the University of Salzburg, Austria, July 9--12, 1996
- Monte Carlo and quasi-Monte Carlo methods in scientific computing. Proceedings of a conference at the University of Nevada, Las Vegas, Nevada, USA, June 23-25, 1994
- Numerical methods for systems with measurable coefficients
- Random and quasi-random point sets
- Sequences, discrepancies and applications
- Some applications of multidimensional integration by parts
- Quasi-Monte Carlo simulation of differential equations
- QMC methods for the solution of delay differential equations.
- The randomized complexity of initial value problems
- A random Euler scheme for Carathéodory differential equations
- QMC Methods for the solution of delay differential equations
- A quasi-randomized Runge-Kutta method
- scientific article; zbMATH DE number 473057 (Why is no real title available?)
This page was built for publication: Quasi-randomized numerical methods for systems with coefficients of bounded variation
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5938369)
