Solving Stochastic Equations using Weiner

Chaos Approximation Method

Monte Carlo Method

In this method, the DE is solved for many iterations using different values of the
stochastic variables. These values are generated according to their normal
distribution. The time required and the relative error is calculated for 100
iterations.
Weiner Chaos Approximation
In Weiner Chaos method, each system variable is expanded in a basis of Hermite
polynomials. In our method, we used four Hermite polynomials as the basis. The
system to be solved is then projected to each of the bases and we get a larger
system of DEs, which is then solved for the coefficients of the Hermite
polynomials. The number of iterations required to get a good solution is much
lower for this case. The time required for 10, 50 and 100 iterations and their
relative errors were calculated.
Algorithm
Monte Carlo
Weiner Chaos
Weiner Chaos
Weiner Chaos

No. of Iterations
100
10
50
100

Time taken
53.24
1.504
1.626
1.991

Relative error
4.7e-13
3.53
3.49
3.47