A QUASI-MONTE CARLO APPROACH TO PARTICLE SIMULATION OF THE HEAT EQUATION *

@inproceedings{MOROKOFFtAQC,
  title={A QUASI-MONTE CARLO APPROACH TO PARTICLE SIMULATION OF THE HEAT EQUATION *},
  author={WILLIAM J. MOROKOFFt and Russel E. Caflisch}
}
The convergence of the Monte Carlo method for numerical integration can often be improved by replacing random numbers with more uniformly distributed numbers known as quasi-random. In this paper the convergence of Monte Carlo particle simulation is studied when these quasi-random sequences are used. For the one-dimensional heat equation discretized in both space and time, convergence is proved for a quasi-random simulation using reordering of the particles according to their position… CONTINUE READING
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