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利用Monte Carlo方法求解线性抛物型问题(英文)

Solving the Linear Parabolic Problem with Monte Carlo Techniques
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摘要 提出一种一维线性抛物型偏微分方程的温度分布函数的数值解法,数值算法是基于在空间和时间上采用紧有限差分法(CFD)得到离散化的控制方程进而利用Monte Carlo(MC)随机模拟方法求解所得的方程.通过比较由CFD方法和有限差分法(FD)得到的数值解与精确解的误差的计算结果说明了所提方法的效率和精度. A numerical algorithm is provided to evaluate the temperature distri- bution of a one--dimensional linear parabolic partial differential equation. The presented method involves the combined use of the compact finite difference (CFD) scheme in space and in time and Monte Carlo method. The numerical algorithm is based on the discretized governing equations by the CFD method. The computed results with the use of the CFD technique have been compared with the exact solution and the results with the use of the finite difference meth- od in order to show the efficiency and accuracy of the present work.
出处 《内蒙古大学学报(自然科学版)》 CAS CSCD 北大核心 2013年第1期16-25,共10页 Journal of Inner Mongolia University:Natural Science Edition
基金 National Natural Science Foundation of China(11161031) Natural Science Foundation of Inner Mongolia(2010MS0116,2009MS0107) Higher School Science and Technology Research Project of Inner Mongolia(NJ10085)~~
关键词 MONTE Carlo算法 马尔科夫链 紧有限差分法 抛物型偏微分方程 Monte Carlo algorithms Markov chain compact finite differencemethod parabolic partial differential equation
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