Application of Quasi-Monte Carlo methods to PDEs with random coefficients -- an overview and tutorial

DOI10.1007/978-3-319-91436-7_3zbMath1407.60093arXiv1710.10984OpenAlexW2963439378MaRDI QIDQ1722507

Frances Y. Kuo, Dirk Nuyens

Publication date: 18 February 2019

Full work available at URL: https://arxiv.org/abs/1710.10984

zbMATH Keywords

quasi-Monte Carlo methodsuniformmulti-levellognormalPDEs with random coefficientsrandomly shifted lattice rules

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (2)

A Quasi-Monte Carlo Method for Optimal Control Under Uncertainty ⋮ The uniform sparse FFT with application to PDEs with random coefficients

Uses Software

• QMC4PDE

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