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Abstract
Monte Carlo methods are now widely used in solving various computational fluid dynamics systems. This paper presents an improved scrambled quasi-Monte Carlo method for solving fluid dynamics applications. In our parallel implementation we use an independent scrambled quasirandom sequence for each processor. We explore the use of both scrambled quasi-Monte Carlo and variance reduction methods to improve the accuracy for Monte Carlo schemes. We also present theoretical analyses and numerical experiments to validate our numerical algorithms.
Keywords.: Quasi-Monte Carlo; parallel computing; scrambled sequences; sensitivity derivatives; computational fluid dynamics
Received: 2008-05-12
Revised: 2008-08-08
Published Online: 2008-09-11
Published in Print: 2008-September
© de Gruyter 2008
