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Tractability of the Quasi-Monte Carlo quadrature with Halton points for elliptic PDEs with random diffusion

Harbrecht, Helmut and Peters, Michael and Siebenmorgen, Markus. (2013) Tractability of the Quasi-Monte Carlo quadrature with Halton points for elliptic PDEs with random diffusion. Preprints Fachbereich Mathematik, 2013 (28).

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Abstract

This article is dedicated to the computation of the moments of the solution to stochastic partial differential equations with log-normal distributed diffusion coefficient by the Quasi-Monte Carlo method. Our main result is the polynomial tractability for the Quasi-Monte Carlo method based on the Halton sequence. As a by-product, we obtain also the strong tractability of stochastic partial differential equations with uniformly elliptic diffusion coefficient by the Quasi-Monte Carlo method. Numerical experiments are given to validate the theoretical findings.
Faculties and Departments:05 Faculty of Science > Departement Mathematik und Informatik > Mathematik > Computational Mathematics (Harbrecht)
12 Special Collections > Preprints Fachbereich Mathematik
UniBasel Contributors:Harbrecht, Helmut and Peters, Michael and Siebenmorgen, Markus
Item Type:Preprint
Publisher:Universität Basel
Language:English
Last Modified:13 May 2019 05:40
Deposited On:28 Mar 2019 09:52

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