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arXiv 1701.05974math.NAcs.NA
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具有对数正态系数的椭圆PDE的乘积权重的准蒙特卡洛积分

Quasi-Monte Carlo integration with product weights for elliptic PDEs with log-normal coefficients

Yoshihito Kazashi

AI总结:

本文研究了具有对数正态系数的扩散问题的准蒙特卡洛积分,提出基于不同假设的乘积权重构造方法,实现更高效的积分算法,并应用于小波随机模型。

摘要:

准蒙特卡洛(QMC)积分用于求解扩散问题解的输出泛函,其中随机系数由高斯随机场的指数形式给出。Graham等人[16]发展了基于晶格的QMC理论,建立了四阶误差衰减率≈1的理论,其关键假设是对上述函数系统的合适求和条件。因此,使用了乘积阶依赖(POD)权重来构造晶格规则。本文考虑了不同的假设,该假设最初由Bachmayr等人[3]提出,用于在多项式近似中利用基函数支持域的局部性,应用于相同类型的扩散问题。该假设在Graham等人考虑的相同晶格基QMC方法中表现良好:该假设导致乘积权重,从而能够构造比Graham等人更小计算成本的QMC方法。建立了四阶误差衰减率≈1的理论,并将在此发展的理论应用于小波随机模型。通过Besov光滑度的刻画,证明了该框架可以处理广泛路径光滑度类。

英文摘要:

Quasi-Monte Carlo (QMC) integration of output functionals of solutions of the diffusion problem with a log-normal random coefficient is considered. The random coefficient is assumed to be given by an exponential of a Gaussian random field that is represented by a series expansion of some system of functions. Graham et al. [16] developed a lattice-based QMC theory for this problem and established a quadrature error decay rate $\approx 1$ with respect to the number of quadrature points. The key assumption there was a suitable summability condition on the aforementioned system of functions. As a consequence, product-order-dependent (POD) weights were used to construct the lattice rule. In this paper, a different assumption on the system is considered. This assumption, originally considered by Bachmayr et al. [3] to utilise the locality of support of basis functions in the context of polynomial approximations applied to the same type of the diffusion problem, is shown to work well in the same lattice-based QMC method considered by Graham et al.: the assumption leads us to product weights, which enables the construction of the QMC method with a smaller computational cost than Graham et al. A quadrature error decay rate $\approx 1$ is established, and the theory developed here is applied to a wavelet stochastic model. By a characterisation of the Besov smoothness, it is shown that a wide class of path smoothness can be treated with this framework.

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