Random Walk on Fixed Spheres for Laplace and Lamé equations

Sabelfeld K. K., Shalimova I. A. and Levykin A. I.
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Sabelfeld K. K.: 1. Weierstrass Institute for Applied Analysis and Stochastics Mohrenstrasse 39, D – 10117 Berlin, Germany
Shalimova I. A.: 2. Institute of Computational Mathematics and Mathematical Geophysics, Russian Acad. Sci. Lavrentieva str., 6, 630090 Novosibirsk, Russia
Levykin A. I.: 2. Institute of Computational Mathematics and Mathematical Geophysics, Russian Acad. Sci. Lavrentieva str., 6, 630090 Novosibirsk, Russia

Monte Carlo Methods and Applications, 2006, vol. 12, issue 1, 55-93

Abstract: The Random Walk on Fixed Spheres (RWFS) introduced in our paper [25], and further developed in [26], is presented in details for Laplace and Lamé equations governing static elasticity problems. The approach is based on the Poisson type integral formulae written for each disc of a domain consisting of a family of overlapping discs. The original differential boundary value problem is equivalently reformulated in the form of a system of integral equations defined on the intersection surfaces (arches, in 2D, and caps, if generalized to 3D spheres). To solve the obtained system of integral equations, a Random Walk procedure is constructed where the random walks are living on the intersection surfaces. Since the spheres are fixed, it is convenient to construct also discrete random walk methods for solving the system of linear equations approximating the system of integral equations. We develop here two classes of special Monte Carlo iterative methods for solving these systems of linear algebraic equations which are constructed as a kind of randomized versions of the Chebyshev iteration method and Successive Over Relaxation (SOR) method. It is found that in this class of randomized SOR methods, the Gauss-Seidel method has a minimal variance. In [25] we have concluded that in the case of classical potential theory, the Random Walk on Fixed Spheres considerably improves the convergence rate of the standard Random Walk on Spheres method. More interesting, we succeeded there to extend the algorithm to the system of Lamé equations which cannot be solved by the conventional Random Walk on Spheres method. We present here a series of numerical experiments for 2D domains consisting of 5, 10, and 17 discs, and analyze the dependence of the variance on the number of discs and elastic constants. Further generalizations to Neumann and Dirichlet-Neumann boundary conditions are possible. see [23].

Keywords: Poisson integral formula; Random Walk on Fixed Spheres; Lamé; equation; Successive Over Relaxation Method; Divergent Neumann series; Discrete Random Walks. (search for similar items in EconPapers)
Date: 2006
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DOI: 10.1515/156939606776886634

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