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Component‐Based Software Realisations of Monte Carlo and Stochastic Galerkin Methods
Author(s) -
Krosche Martin,
Matthies Hermann G.
Publication year - 2008
Publication title -
pamm
Language(s) - English
Resource type - Journals
ISSN - 1617-7061
DOI - 10.1002/pamm.200810765
Subject(s) - component (thermodynamics) , monte carlo method , realisation , computer science , reusability , software , computation , convergence (economics) , extensibility , mathematical optimization , galerkin method , computational science , stochastic simulation , mathematics , algorithm , engineering , finite element method , programming language , physics , structural engineering , economics , economic growth , statistics , thermodynamics , quantum mechanics
In this paper we present a component–based software realisation of the Monte Carlo and Stochastic Galerkin methods for simulating stochastic models with uncertain parameters described by random fields. The system supports parallel and distributed computations and focuses on the reusability and extensibility of the provided components and frameworks. Third–party software is interfaced to avoid cost–intensive reimplementations. The mentioned schemes are compared with respect to their convergence by considering a stationary groundwater flow model. (© 2008 WILEY‐VCH Verlag GmbH & Co. KGaA, Weinheim)