Preliminary list of abstracts

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Fast QMC integration for lognormal random fields
Keywords: Quasi-Monte Carlo; Stochastic PDE
Tue, 09:50--10:15
  • Nichols, James (School of Mathematics and Statistics, University of New South Wales, Australia)
  • Sloan, Ian H. (University of New South Wales, Australia)
  • Kuo, Frances Y. (University of New South Wales, Australia)
  • Graham, Ivan G. (University of Bath, UK)
  • Scheichl, Rob (University of Bath, UK)
  • Schwab, Christoph (ETH Zurich, Switzerland)

Partial differential equations with lognormal random fields in the coefficients are notoriously high-dimensional problems and consequently are difficult calculate integrals or expected values on. Here we present recent results on obtaining convergence of QMC quadrature, in particular results relevant to the "smoothness" of the random field, and examine computational results on the porous-media Darcy flow problem.