A quasi-randomized Runge-Kutta method
نویسندگان
چکیده
We analyze a quasi-Monte Carlo method to solve the initial-value problem for a system of differential equations y′(t) = f(t, y(t)). The function f is smooth in y and we suppose that f and D1 yf are of bounded variation in t and that D2 yf is bounded in a neighborhood of the graph of the solution. The method is akin to the second order Heun method of the Runge-Kutta family. It uses a quasi-Monte Carlo estimate of integrals. The error bound involves the square of the step size as well as the discrepancy of the point set used for quasi-Monte Carlo approximation. Numerical experiments show that the quasi-randomized method outperforms a recently proposed randomized numerical method.
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ورودعنوان ژورنال:
- Math. Comput.
دوره 68 شماره
صفحات -
تاریخ انتشار 1999