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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: 7494-4885Kablukova 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: 3162-7640Bulgakova 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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