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<html>
<head>
<title>
FEYNMAN_KAC_2D - PDE Solution by Feynman-Kac Algorithm
</title>
</head>
<body bgcolor="#EEEEEE" link="#CC0000" alink="#FF3300" vlink="#000055">
<h1 align = "center">
FEYNMAN_KAC_2D <br> PDE Solution by Feynman-Kac Algorithm
</h1>
<hr>
<p>
<b>FEYNMAN_KAC_2D</b>
is a MATLAB program which
demonstrates the use of the Feynman-Kac algorithm
to solve Poisson's equation in a 2D ellipse by averaging
stochastic paths to the boundary.
</p>
<p>
The program is intended as a simple demonstration of the method.
The main purpose is to have a version that runs sequentially, so that
it can be compared to versions which have been enhanced using parallel
programming techniques.
</p>
<h3 align = "center">
Licensing:
</h3>
<p>
The computer code and data files described and made available on this web page
are distributed under
<a href = "../../txt/gnu_lgpl.txt">the GNU LGPL license.</a>
</p>
<h3 align = "center">
Languages:
</h3>
<p>
<b>FEYNMAN_KAC_2D</b> is available in
<a href = "../../c_src/feynman_kac_2d/feynman_kac_2d.html">a C version</a> and
<a href = "../../cpp_src/feynman_kac_2d/feynman_kac_2d.html">a C++ version</a> and
<a href = "../../f77_src/feynman_kac_2d/feynman_kac_2d.html">a FORTRAN77 version</a> and
<a href = "../../f_src/feynman_kac_2d/feynman_kac_2d.html">a FORTRAN90 version</a> and
<a href = "../../m_src/feynman_kac_2d/feynman_kac_2d.html">a MATLAB version.</a>
</p>
<h3 align = "center">
Related Data and Programs:
</h3>
<p>
<a href = "../../m_src/feynman_kac_1d/feynman_kac_1d.html">
FEYNMAN_KAC_1D</a>,
a MATLAB program which
demonstrates the use of the Feynman-Kac algorithm
to solve Poisson's equation in a 1D interval by averaging
stochastic paths to the boundary.
</p>
<p>
<a href = "../../m_src/feynman_kac_3d/feynman_kac_3d.html">
FEYNMAN_KAC_3D</a>,
a MATLAB program which
demonstrates the use of the Feynman-Kac algorithm
to solve Poisson's equation in a 3D ellipsoid by averaging
stochastic paths to the boundary.
</p>
<p>
<a href = "../../m_src/sde/sde.html">
SDE</a>,
a MATLAB library which
solves certain stochastic differential equations.
</p>
<p>
<a href = "../../m_src/stochastic_rk/stochastic_rk.html">
STOCHASTIC_RK</a>,
a MATLAB library which
applies a Runge-Kutta scheme to a stochastic differential equation.
</p>
<h3 align = "center">
Reference:
</h3>
<p>
<ol>
<li>
Peter Arbenz, Wesley Petersen,<br>
Introduction to Parallel Computing - A practical guide with examples in C,<br>
Oxford University Press,<br>
ISBN: 0-19-851576-6,<br>
LC: QA76.58.P47.
</li>
</ol>
</p>
<h3 align = "center">
Source Code:
</h3>
<p>
<ul>
<li>
<a href = "feynman_kac_2d.m">feynman_kac_2d.m</a>,
the main program.
</li>
</ul>
</p>
<h3 align = "center">
Examples and Tests:
</h3>
<p>
<ul>
<li>
<a href = "feynman_kac_2d_output.txt">feynman_kac_2d_output.txt</a>,
the output file.
</li>
</ul>
</p>
<p>
You can go up one level to <a href = "../m_src.html">
the MATLAB source codes</a>.
</p>
<hr>
<i>
Last revised on 15 November 2011.
</i>
<!-- John Burkardt -->
</body>
</html>