FEYNMAN_KAC
PDE Solution by Feynman-Kac Algorithm

FEYNMAN_KAC is a C program, using double precision arithmetic, which solves a simple partial differential equation inside an elliptic domain using the Feynman-Kac algorithm.

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.

Related Data and Programs:

SDE is a MATLAB library which solves certain stochastic differential equations.

Reference:

1. Peter Arbenz, Wesley Petersen,
   Introduction to Parallel Computing - A practical guide with examples in C,
   Oxford University Press,
   ISBN: 0-19-851576-6,
   LC: QA76.58.P47.

Source Code:

• feynman_kac.c, the source code.
• feynman_kac.csh, commands to compile and load the source code.

Examples and Tests:

• feynman_kac_output.txt, the output file.

List of Routines:

• I4_NORMAL returns a scaled pseudonormal I4.
• I8_NORMAL returns a scaled pseudonormal I8.
• R4_NINT returns the nearest I4 to a R4.
• R4_NORMAL returns a scaled pseudonormal R4.
• R4_NORMAL_01 returns a unit pseudonormal R4.
• R4_UNIFORM_01 returns a unit pseudorandom R4.
• R8_NORMAL returns a scaled pseudonormal R8.
• R8_NORMAL_01 returns a unit pseudonormal R8.
• R8_UNIFORM_01 returns a unit pseudorandom R8.
• R8MAT_NORMAL returns a scaled pseudonormal R8MAT.
• R8MAT_NORMAL_01 returns a unit pseudonormal R8MAT.
• R8VEC_NORMAL returns a scaled pseudonormal R8VEC.
• R8VEC_NORMAL_01 returns a unit pseudonormal R8VEC.
• R8VEC_UNIFORM_01 returns a unit pseudorandom R8VEC.
• TIMESTAMP prints the current YMDHMS date as a time stamp.
• TIMESTRING returns the current YMDHMS date as a string.

You can go up one level to the C source codes.