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SYLLABUS
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5.5 When should you
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5 MONTE-CARLO METHOD
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5.7 Exercises
5.6 Computer quiz
If one single integration with 100 samples falls within 1% of the analytical value
10000 samples yield an error smaller than 0.01%
10000 samples yield an error around 0.1%
10000 samples yield an error that is likely to be larger than 0.1%
In a Wiener process, the increment immediately following an increment of 0.23 is
likely to be negative rather than positive
uniformly distributed in [-1;1]
uniformly distributed in [0;1]
independent of the past realisation
In a Brownian motion, the increment (mean free path) is
propotional to the square-root of the diffusion coefficient
propotional to the diffusion coefficient
independent of the diffusion coefficient
The numerical error in our MCM scheme for advection-diffusion is
proportional to the square-root of the time step
proportional to the time step
independent of the time step
Monte Carlo discretization of non-linear equations such as Burger's is
impossible
particularly slow
difficult to parallelize
SYLLABUS
Previous:
5.5 When should you
Up:
5 MONTE-CARLO METHOD
Next:
5.7 Exercises
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Lifelong-learners
at 07:16:12, September 25th, 2018