Metropolis Integration Schemes for Self-Adjoint Diffusions
نویسندگان
چکیده
منابع مشابه
Metropolis Integration Schemes for Self-Adjoint Diffusions
We present explicit methods for simulating diffusions whose generator is self-adjoint with respect to a known (but possibly not normalizable) density. These methods exploit this property and combine an optimized Runge-Kutta algorithm with a Metropolis-Hastings Monte-Carlo scheme. The resulting numerical integration scheme is shown to be weakly accurate at finite noise and to gain higher order a...
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micropolar plasticity provides the capability to carry out post-failure simulations of geo-structures due to microstructural considerations and embedded length scale in its formulation. an essential part of the numerical implementation of a micropolar plasticity model is the integration of the rate constitutive equations. efficiency and robustness of the implementation hinge on the type of inte...
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ژورنال
عنوان ژورنال: Multiscale Modeling & Simulation
سال: 2014
ISSN: 1540-3459,1540-3467
DOI: 10.1137/130937470