Multilevel Monte Carlo front-tracking for random scalar conservation laws

被引：9
|
作者：
Risebro, Nils Henrik [1 ]
Schwab, Christoph [2 ]
Weber, Franziska [1 ]
机构：
[1] Univ Oslo, Dept Math, POB 1053, N-0316 Oslo, Norway
[2] ETH, ETH Zentrum HG G 57 1, Seminar Appl Math, Ramistr 101, Zurich, Switzerland
来源：
BIT NUMERICAL MATHEMATICS | 2016年 / 56卷 / 01期
关键词：
Conservation laws; Random flux; Front tracking; Monte Carlo method; FINITE-VOLUME METHODS; BURGERS-EQUATION; SYSTEMS;
D O I：
10.1007/s10543-015-0550-4
中图分类号：
TP31 [计算机软件];
学科分类号：
081202 ; 0835 ;
摘要：
We consider random scalar hyperbolic conservation laws in spatial dimension with bounded random flux functions which are Lipschitz continuous with respect to the state variable, for which there exists a unique random entropy solution. We present a convergence analysis of a multilevel Monte Carlo front-tracking algorithm. It is based on "pathwise" application of the front-tracking method for deterministic conservation laws. Due to the first order convergence of front tracking, we obtain an improved complexity estimate in one space dimension.
引用
收藏
页码：263 / 292
页数：30
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