QMC Working Group VIII: Application of QMC to PDEs with random coefficients

Group Leader:
Frances Kuo (University of New South Wales Sydney, Australia)
Alec Gilbert (University of New South Wales Sydney, Australia)

Description:
Quasi-Monte Carlo methods have recently been successfully used in calculating expected values of quantities of interests which depend on the solutions of PDEs with random coefficients, for so-called “uniform” and “lognormal” random fields. The construction of “randomly shifted lattice rules” and “interlaced polynomial lattice rules” based on decay properties of the random field has been implemented in the QMC4PDE software package.

The working group will extend the theory and implementation of these methods in various directions: for example, to generate lognormal random fields by the circulant embedding technique, to stochastic wave propagation, to neutron diffusion, to Bayesian inverse problems in uncertainty quantification, and more.

News and Updates: Coming soon…

SAMSI Directorate Liaison: Ilse Ipsen

Questions: email qmc@samsi.info

Program on Quasi-Monte Carlo and High-Dimensional Sampling Methods for Applied Mathematics (QMC)