The rejection sampling method is one of the most popular methods used in Monte Carlo methods. It turns out that the standard rejection method is closely related to the problem of quasi-Monte Carlo integration of chara...The rejection sampling method is one of the most popular methods used in Monte Carlo methods. It turns out that the standard rejection method is closely related to the problem of quasi-Monte Carlo integration of characteristic functions, whose accuracy may be lost due to the discontinuity of the characteristic functions. We proposed a B-splines smoothed rejection sampling method, which smoothed the characteristic function by B-splines smoothing technique without changing the integral quantity. Numerical experiments showed that the convergence rate of nearly O( N^-1 ) is regained by using the B-splines smoothed rejection method in importance sampling.展开更多
This paper present an implementation of＂modified cubic B-spline differential quadrature method （MCB-DQM）＂ proposed by Arora ＆ Singh （Applied Mathematics and Computation Vol. 224（1） （2013） 161-177） for numer...This paper present an implementation of＂modified cubic B-spline differential quadrature method （MCB-DQM）＂ proposed by Arora ＆ Singh （Applied Mathematics and Computation Vol. 224（1） （2013） 161-177） for numerical computation of Fokker-Planck equations. The modified cubic B-splines are used as set of basis functions in the differential quadrature to compute the weighting coefficients for the spatial derivatives, which reduces Fokker-Planck equation into system of first-order ordinary differential equations （ODEs）, in time. The well known SSP-RK43 scheme is then applied to solve the resulting system of ODEs. The efficiency of proposed method has been confirmed by three examples having their exact solutions. This shows that MCB-DQM results are capable of achieving high accuracy. Advantage of the scheme is that it can be applied very smoothly to solve the linear or nonlinear physical problems, and a very less storage space is required which causes less accumulation of numerical errors.展开更多
文摘The rejection sampling method is one of the most popular methods used in Monte Carlo methods. It turns out that the standard rejection method is closely related to the problem of quasi-Monte Carlo integration of characteristic functions, whose accuracy may be lost due to the discontinuity of the characteristic functions. We proposed a B-splines smoothed rejection sampling method, which smoothed the characteristic function by B-splines smoothing technique without changing the integral quantity. Numerical experiments showed that the convergence rate of nearly O( N^-1 ) is regained by using the B-splines smoothed rejection method in importance sampling.
文摘This paper present an implementation of＂modified cubic B-spline differential quadrature method （MCB-DQM）＂ proposed by Arora ＆ Singh （Applied Mathematics and Computation Vol. 224（1） （2013） 161-177） for numerical computation of Fokker-Planck equations. The modified cubic B-splines are used as set of basis functions in the differential quadrature to compute the weighting coefficients for the spatial derivatives, which reduces Fokker-Planck equation into system of first-order ordinary differential equations （ODEs）, in time. The well known SSP-RK43 scheme is then applied to solve the resulting system of ODEs. The efficiency of proposed method has been confirmed by three examples having their exact solutions. This shows that MCB-DQM results are capable of achieving high accuracy. Advantage of the scheme is that it can be applied very smoothly to solve the linear or nonlinear physical problems, and a very less storage space is required which causes less accumulation of numerical errors.
