Quasi-Monte Carlo algorithms for diffusion equations in high dimensions
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Publication:1775922
DOI10.1016/j.matcom.2004.09.003zbMath1069.65003OpenAlexW2012929020MaRDI QIDQ1775922
G. Venkiteswaran, Michael Junk
Publication date: 4 May 2005
Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.matcom.2004.09.003
Related Items (7)
Unconditionally stable Monte Carlo simulation for solving the multi-dimensional Allen-Cahn equation ⋮ The equimaterial approach for the numerical solution of the one dimensional transient diffusion equation with zero flux boundary conditions ⋮ A reduced basis approach for variational problems with stochastic parameters: application to heat conduction with variable Robin coefficient ⋮ A fast Monte-Carlo method with a reduced basis of control variates applied to uncertainty propagation and Bayesian estimation ⋮ A QMC approach for high dimensional Fokker-Planck equations modelling polymeric liquids ⋮ Diffusion in a nonhomogeneous medium: quasi-random walk on a lattice ⋮ Dynamic response analysis of stochastic truss structures under non-stationary random excitation using the random factor method
Cites Work
- Low discrepancy sequences for solving the Boltzmann equation
- Numerical integration using sparse grids
- A QMC approach for high dimensional Fokker-Planck equations modelling polymeric liquids
- Quasi-Monte Carlo simulation of diffusion
- Discrépance de suites associées à un système de numération (en dimension s)
- Elementary Stochastic Calculus, with Finance in View
- A Quasi-Monte Carlo Approach to Particle Simulation of the Heat Equation
- On the distribution of points in a cube and the approximate evaluation of integrals
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