Multi-level Monte Carlo weak Galerkin method for elliptic equations with stochastic jump coefficients

Jingshi Li, Xiaoshen Wang and Kai Zhang

Applied Mathematics and Computation, 2016, vol. 275, issue C, 181-194

Abstract: In this paper, we present a multi-level Monte Carlo weak Galerkin method for solving elliptic equations with stochastic jump coefficients. The multi-level Monte Carlo technique balances the spatial approximation error and the sampling error. The weak Galerkin technique is a stable and high-order accurate method which can easily handle deterministic partial differential equations with complex geometries or jump coefficients given by each sample, and this method is also able to capture highly complex solutions exhibiting discontinuities or oscillations with high resolution. Comparing with the standard Monte Carlo method, by using the multi-level Monte Carlo weak Galerkin method, the computational cost can be sharply reduced to log-linear complexity with respect to the degree of freedom in spatial direction. The numerical experiments verify the efficiency of our algorithms.

Keywords: Multi-level Monte Carlo; Stochastic jump coefficients; Weak Galerkin; Stablizer (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0096300315015660
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:apmaco:v:275:y:2016:i:c:p:181-194

DOI: 10.1016/j.amc.2015.11.064

Access Statistics for this article

Applied Mathematics and Computation is currently edited by Theodore Simos

More articles in Applied Mathematics and Computation from Elsevier
Bibliographic data for series maintained by Catherine Liu ().