A QUASI-MONTE-CARLO APPROACH TO PARTICLE SIMULATION OF THE HEAT-EQUATION

The convergence of the Monte Carlo method for numerical integration can often be improved by replacing random numbers with more uniformly distributed numbers known as quasi-random. In this paper the convergence of Monte Carlo particle simulation is studied when these quasi-random sequences are used. For the one-dimensional heat equation discretized in both space and time, convergence is proved for a quasi-random simulation using reordering of the particles according to their position. Experimental results are presented for the spatially continuous heat equation in one and two dimensions. The results indicate that a significant improvement in both magnitude of error and convergence rate can be achieved over standard Monte Carlo simulations for certain low-dimensional problems.