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arXiv · 1606.06613

Application of quasi-Monte Carlo methods to elliptic PDEs with random diffusion coefficients - a survey of analysis and implementation

Frances Y. Kuo·Dirk Nuyens
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Abstract

This article provides a survey of recent research efforts on the application of quasi-Monte Carlo (QMC) methods to elliptic partial differential equations (PDEs) with random diffusion coefficients. It considers, and contrasts, the uniform case versus the lognormal case, single-level algorithms versus multi-level algorithms, first order QMC rules versus higher order QMC rules, and deterministic QMC methods versus randomized QMC methods. It gives a summary of the error analysis and proof techniques in a unified view, and provides a practical guide to the software for constructing and generating QMC points tailored to the PDE problems. The analysis for the uniform case can be generalized to cover a range of affine parametric operator equations.

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Frances Y. Kuo, Dirk Nuyens. 2016-06-21. Application of quasi-Monte Carlo methods to elliptic PDEs with random diffusion coefficients - a survey of analysis and implementation. https://arxiv.org/abs/1606.06613

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