Abstract:
We consider a functional algorithm of random walk-on-grid as applied to the global solution of the Dirichlet problem for the biharmonic equation. In the metric space $C$, a certain upper error bound is constructed, and optimal values (in the sense of the upper error bound) of the algorithm parameters, i.e., the number of grid nodes and the sample size are obtained.
We carry out numerical comparison of efficiency of the algorithm in question and the global random walk on spheres algorithm, based on the use of the fundamental solution to the biharmonic equation for the problem of a bending of a thin elastic plate with a simply supported boundary.
Key words:Monte Carlo methods, functional algorithms, random walks, biharmonic equation, error estimation, optimization.