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Monte Carlo method for solving a parabolic problem

By Tian Yi and Yan Zai-Zai

Abstract

In this paper, we present a numerical method based on random sampling for a parabolic problem. This method combines use of the Crank-Nicolson method and Monte Carlo method. In the numerical algorithm, we first discretize governing equations by Crank-Nicolson method, and obtain a large sparse system of linear algebraic equations, then use Monte Carlo method to solve the linear algebraic equations. To illustrate the usefulness of this technique, we apply it to some test problems

Topics: Monte Carlo method, Crank-Nicolson method, system of linear algebraic equations, Mechanical engineering and machinery, TJ1-1570
Publisher: VINCA Institute of Nuclear Sciences
Year: 2016
DOI identifier: 10.2298/TSCI1603933T
OAI identifier: oai:doaj.org/article:069d746be27840d3b3aeac032a6088b9
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