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Monte Carlo Finite Volume Element Methods for the Convection-Diffusion Equation with a Random Diffusion Coefficient

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  • Qian Zhang
  • Zhiyue Zhang

Abstract

The paper presents a framework for the construction of Monte Carlo finite volume element method (MCFVEM) for the convection-diffusion equation with a random diffusion coefficient, which is described as a random field. We first approximate the continuous stochastic field by a finite number of random variables via the Karhunen-Loève expansion and transform the initial stochastic problem into a deterministic one with a parameter in high dimensions. Then we generate independent identically distributed approximations of the solution by sampling the coefficient of the equation and employing finite volume element variational formulation. Finally the Monte Carlo (MC) method is used to compute corresponding sample averages. Statistic error is estimated analytically and experimentally. A quasi-Monte Carlo (QMC) technique with Sobol sequences is also used to accelerate convergence, and experiments indicate that it can improve the efficiency of the Monte Carlo method.

Suggested Citation

  • Qian Zhang & Zhiyue Zhang, 2014. "Monte Carlo Finite Volume Element Methods for the Convection-Diffusion Equation with a Random Diffusion Coefficient," Mathematical Problems in Engineering, Hindawi, vol. 2014, pages 1-13, May.
    • Handle: RePEc:hin:jnlmpe:642470
    DOI: 10.1155/2014/642470
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