Application of Quasi-Monte Carlo Methods to Elliptic PDEs with Random Diffusion Coefficients: A Survey of Analysis and Implementation

This article provides a survey of recent research efforts on the application of quasi-Monte Carlo (QMC) methods to elliptic partial differential equations (PDEs) with random diffusion coefficients. It considers and contrasts the uniform case versus the lognormal case, single-level algorithms versus multi-level algorithms, first-order QMC rules versus higher-order QMC rules, and deterministic QMC methods versus randomized QMC methods. It gives a summary of the error analysis and proof techniques in a unified view, and provides a practical guide to the software for constructing and generating QMC points tailored to the PDE problems. The analysis for the uniform case can be generalized to cover a range of affine parametric operator equations.     

An overview of fast component-by-component constructions of lattice rules and lattice sequences

Since the initial work by I. H. Sloan and his collaborators on the component-by-component construction of good lattice rules for the approximation of multivariate integrals, a lot of variations on this theme have been published. These include various function spaces, prime and composite number of points, intermediate-rank rules, polynomial lattice rules and extensible rules. We sketch the different variations and discuss the properties needed to have a fast component-by-component construction. (© 2008 WILEY-VCH Verlag GmbH & Co. KGaA, Weinheim)     

Rank-1 lattice rules for multivariate integration in spaces of permutation-invariant functions

We study multivariate integration of functions that are invariant under permutations (of subsets) of their arguments. We find an upper bound for the nth minimal worst case error and show that under certain conditions, it can be bounded independent of the number of dimensions. In particular, we study the application of unshifted and randomly shifted rank-1 lattice rules in such a problem setting. We derive conditions under which multivariate integration is polynomially or strongly polynomially tractable with the Monte Carlo rate of convergence \(\mathcal {O}(n^{-1/2})\). Furthermore, we prove that those tractability results can be achieved with shifted lattice rules and that the shifts are indeed necessary. Finally, we show the existence of rank-1 lattice rules whose worst case error on the permutation- and shift-invariant spaces converge with (almost) optimal rate. That is, we derive error bounds of the form \(\mathcal {O}(n^{-\lambda /2})\) for all 1≤λ<2α, where α denotes the smoothness of the spaces.     

Weighted compound integration rules with higher order convergence for all N

Quasi-Monte Carlo integration rules, which are equal-weight sample averages of function values, have been popular for approximating multivariate integrals due to their superior convergence rate of order close to 1/N or better, compared to the order 1/?N1/\sqrt{N} of simple Monte Carlo algorithms. For practical applications, it is desirable to be able to increase the total number of sampling points N one or several at a time until a desired accuracy is met, while keeping all existing evaluations. We show that although a convergence rate of order close to 1/N can be achieved for all values of N (e.g., by using a good lattice sequence), it is impossible to get better than order 1/N convergence for all values of N by adding equally-weighted sampling points in this manner. We then prove that a convergence of order N ^− α for α > 1 can be achieved by weighting the sampling points, that is, by using a weighted compound integration rule. We apply our theory to lattice sequences and present some numerical results. The same theory also applies to digital sequences.     

The Maximum Queue Length for Heavy-Tailed Service Times in the M/G/1 FB Queue

This paper treats the maximum queue length M, in terms of the number of customers present, in a busy cycle in the M/G/1 queue. The distribution of M depends both on the service time distribution and on the service discipline. Assume that the service times have a logconvex density and the discipline is Foreground Background (FB). The FB service discipline gives service to the customer(s) that have received the least amount of service so far. It is shown that under these assumptions the tail of M is bounded by an exponential tail. This bound is used to calculate the time to overflow of a buffer, both in stable and unstable queues.     

Polymeric Reagents.II. Synthesis and Applications of Crosslinked Poly(vinylpyridinium Hydrobromide Perbromide) Resins

Crosslinked bead polymers containing vinylpyridine units were prepared by pearl copolymerization of monomer mixtures containing various percentagesof 4-vinylpyridine, styrene, and di-vinylbenzene. The polymers were functionalized by reaction with hydrogen bromide and bromine, and the resulting poly-(vinylpyridinium hydrobromide perbromide) resins, which were stable for long periods of time, were used to brominate a number of alkenes and ketones. In most cases, the brominated products were obtained in excellent yields and could be separated from the polymeric by-product by a simple filtration. The polymeric reagent could be fully regenerated after use without loss of activity.     

Fast algorithms for component-by-component construction of rank- lattice rules in shift-invariant reproducing kernel Hilbert spaces

We reformulate the original component-by-component algorithm for rank- lattices in a matrix-vector notation so as to highlight its structural properties. For function spaces similar to a weighted Korobov space, we derive a technique which has construction cost , in contrast with the original algorithm which has construction cost . Herein is the number of dimensions and the number of points (taken prime). In contrast to other approaches to speed up construction, our fast algorithm computes exactly the same quantity as the original algorithm. The presented algorithm can also be used to construct randomly shifted lattice rules in weighted Sobolev spaces.

     

Some arithmetic properties of short random walk integrals

We study the moments of the distance traveled by a walk in the plane with unit steps in random directions. While this historically interesting random walk is well understood from a modern probabilistic point of view, our own interest is in determining explicit closed forms for the moment functions and their arithmetic values at integers when only a small number of steps is taken. As a consequence of a more general evaluation, a closed form is obtained for the average distance traveled in three steps. This evaluation, as well as its proof, rely on explicit combinatorial properties, such as recurrence equations of the even moments (which are lifted to functional equations). The corresponding general combinatorial and analytic features are collected and made explicit in the case of 3 and 4 steps. Explicit hypergeometric expressions are given for the moments of a 3-step and 4-step walk and a general conjecture for even length walks is made.