WIAS Preprint No. 826, (2003)

Random walk on spheres algorithm for biharmonic equation: Optimization and error estimation


  • Sabelfeld, Karl K.
  • Shkarupa, Elena

2010 Mathematics Subject Classification

  • 65C05 76N20


  • Random Walk on Spheres algorithm, global estimators, biharmonic equation, optimization and error estimation, multilinear interpolation




The global algorithm of Random Walk on Spheres suggested by K.K. Sabelfeld is analysed and a kind of optimisation strategy is suggested. The algorithm is applied here to construct a functional version of this method which uses a multilinear interpolation. As an example we have chosen the biharmonic equation governing the bending of a thin elastic plate with the simply supported boundary, however generalizations to other equations can be carried out.

Appeared in

  • Monte Carlo Methods Appl., 9 (2003) pp. 51-65.

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