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NA Seminar: Monika Eisenmann (TU Berlin): "Error analysis of a new randomized time-stepping method for differential equations with time-irregular coefficients"

Seminarium

Tid: 2017-10-09 13:15 till: 14:45
Plats:MH:333
Kontakt:philipp.birken@na.lu.se


In this talk, we consider a randomized numerical scheme which can be applied to both ordinary differential equations of Carathéodory type and non-autonomous evolution equations with time irregular coefficients. Bringing together the Monte Carlo algorithm and the classical backward Euler method, we introduce a variation of the Euler method where the data is evaluated at a random time step instead of a preassigned grid point. For time irregular coefficients we can prove a rate of convergence in a mean square sense for this new randomized scheme where the classical Euler method is known to diverge.

To demonstrate the numerical practicability of the scheme, we present numerical examples using Python and FEniCS.


This talk is based on joint work with Raphael Kruse (TU Berlin), Mihály Kovács and Stig Larsson (both Chalmers University of Technology).

Disputationer

Följande disputationer är på gång:

 

27 Nov: Iman Vakili. Opponent: Prof. Andrea Neto