Article information

2004 , Volume 9, Special issue, p.50-61

Voytishek A.V., Kablukova E.G., Bulgakova T.E.

Usage of spectral models of random fields for analysis of numerical integration algorithms

In this paper we use the model trajectories of stochastic functions for testing of numerical integration algorithms. Such approach allows us to assure the independence of testing, to get necessary properties of integrands (smoothness, "complexity'' of calculations, etc.), and to derive the analytic formulas for probabilistic estimates of error. The problem of weak convergence of the considered models is also investigated.

Classificator Msc2000:
*60G60 Random fields
62M15 Spectral analysis
65C05 Monte Carlo methods

Keywords: Gauss spectral model, Monte-Carlo method, stochastic integral, random variable, numerical integration algorithms, weak convergence

Author(s):
Voytishek Anton Vaclavovich
Dr. , Professor
Position: Leading research officer
Office: Institute of Numerical Mathematics and Mathematical Geophysics of Siberian Division of RAS
Address: 630090, Russia, Novosibirsk, prospect Akademika Lavrentyeva, 6
Phone Office: (383)3307721
E-mail: vav@osmf.sscc.ru
SPIN-code: 7494-4885

Kablukova Evgeniya Gennadievna
PhD.
Office: Institute of Computational Mathematics and Mathematical Geophysics of SB RAS
Address: 630090, Russia, Novosibirsk, 6, Ac. Lavrentieva aven.
Phone Office: (383) 3307721
E-mail: Jane_K@ngs.ru
SPIN-code: 3162-7640

Bulgakova Tatyana Evgenievna
Address: 630090, Russia, Novosibirsk, 6, Ac. Lavrentieva aven.


Bibliography link:
Voytishek A.V., Kablukova E.G., Bulgakova T.E. Usage of spectral models of random fields for analysis of numerical integration algorithms // Computational technologies. 2004. V. 9. Special issue. Selected papers presented at VII International workshop “Cubature formulae and their applications”. Krasnoyarsk, August 2003. P. 50-61
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