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A Particle Method for Fokker-Planck Equations in High Dimensions

  • The dissertation is concerned with the numerical solution of Fokker-Planck equations in high dimensions arising in the study of dynamics of polymeric liquids. Traditional methods based on tensor product structure are not applicable in high dimensions for the number of nodes required to yield a fixed accuracy increases exponentially with the dimension; a phenomenon often referred to as the curse of dimension. Particle methods or finite point set methods are known to break the curse of dimension. The Monte Carlo method (MCM) applied to such problems are 1/sqrt(N) accurate, where N is the cardinality of the point set considered, independent of the dimension. Deterministic version of the Monte Carlo method called the quasi Monte Carlo method (QMC) are quite effective in integration problems and accuracy of the order of 1/N can be achieved, up to a logarithmic factor. However, such a replacement cannot be carried over to particle simulations due to the correlation among the quasi-random points. The method proposed by Lecot (C.Lecot and F.E.Khettabi, Quasi-Monte Carlo simulation of diffusion, Journal of Complexity, 15 (1999), pp.342-359) is the only known QMC approach, but it not only leads to large particle numbers but also the proven order of convergence is 1/N^(2s) in dimension s. We modify the method presented there, in such a way that the new method works with reasonable particle numbers even in high dimensions and has better order of convergence. Though the provable order of convergence is 1/sqrt(N), the results show less variance and thus the proposed method still slightly outperforms standard MCM.
  • Eine Partikel Methode für Fokker-Planck Gleichungen in hohen Dimensionen

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Author:Venkiteswaran Gopalakrishnan
URN (permanent link):urn:nbn:de:bsz:386-kluedo-15786
Advisor:Michael Junk
Document Type:Doctoral Thesis
Language of publication:English
Year of Completion:2002
Year of Publication:2002
Publishing Institute:Technische Universität Kaiserslautern
Granting Institute:Technische Universität Kaiserslautern
Acceptance Date of the Thesis:2003/01/31
Date of the Publication (Server):2003/06/16
Tag:Diffusion; Partikel Methoden; QMC
Diffusion; Monte Carlo; discrepancy; quasi-Monte Carlo
GND-Keyword:Fokker-Planck-Gleichung; Monte Carlo
Faculties / Organisational entities:Fachbereich Mathematik
DDC-Cassification:5 Naturwissenschaften und Mathematik / 510 Mathematik
Licence (German):Standard gemäß KLUEDO-Leitlinien vor dem 27.05.2011