Siberian Mathematical Journal, Vol. 36, No.

3, 1995

THE MONTE CARLO METHODS FOR SOLVING

THE VECTOR AND STOCHASTIC HELMHOLTZ
E Q U A T I O N S t),~)
G. A. Mikha~lov UDC 518:517.948

w 1. S o l u t i o n of t h e D i r i c h l e t P r o b l e m for t h e V e c t o r H e l m h o l t z
Equation
Consider the Dirichlet problem for the system of Helmholtz equations
m

Aui(r) + y~ cij(r) = -gi(r), ui(r)lr = r i = 1,...,m, (1.1)

i=1

in a domain D E R 3 with boundary F, r = (z, y, z) E D.

The regularity conditions are assumed to be fulfilled on the functions {cij, gi, r and the boundary
F which ensure existence and uniqueness of a solution to problem (1.1), together with the integral and
probability representations (see, for instance, [1, 2]) used henceforth. Here the functions {cij,gi, r
may be complex-valued as well.
Denote by the symbol c* the first eigenvalue of the scalar Helmholtz equation Au + cu = 0 in the
domain D. It is well known that if c < c* then there is a unique solution to the Dirichlet problem
for the equation Au + cu = - g , provided that g and F are sufficiently regular. For a nondegenerate
symmetric real matrix C = {cij} independent of r, the condition

At < c*, k= 1,...,m, (1.2)

represents an analog of the condition c < c*; here {Ak} are the eigenvalues of the matrix C. In the
case of variable matrices {cij(r)}, in place of (1.2) we can consider the condition
m

< c*, i = 1,...,m; rED.

j=l

We further show that under this condition a solution to problem (1.1) is unique and hence existent
by the Fredholm alternative [3].
Introduce the notations: d(r) is the distance from the point r to the boundary F; F~ is the e-
neighborhood of F; S(r) and D(r) are the sphere and ball with radius d(r) and center the point r;
and Gr(r') is the spherical Green function for the Laplace equation at the center of the ball D(r), i.e.,

Gr(r') =
1(1
r
i)
a{-r) ' It- r <

t) Dedicated to the jubilee of the 70th birthday of m y teacher Academician G. I. Maxchuk.

~) The research was supported by the Russian Foundation for Fundamental Research (Grant 93-01-00500) and the
International Science Foundation (Grant P C 000).

Novosibirsk. Translated from Sibirskff Matematicheski~ Zhurnal, Vol. 36, No. 3, pp. 602-610, May-June, 1995.
Original article submitted July 18, 1994.

0037-4466/95/3603-0517 $12.50 C) 1995 Plenum Publishing Corporation 517

Rewrite (1.1) as
m

au,(~) = - ~ cd~)=A~) - gi(~), u~(r)lr = r i = i,...,m. (1.3)

i=1
By using the integral representation for a solution to the Poisson equation at the center of the ball
D(r), we can write down a special system of integral equations in ui(r). The system takes the form

Ti(r) - - 4~rd2(r) ~vi(r(s))ds + Gr(r') E cij(r')~aJ(rt)dr'

S(r) D(r) 1=1
+ / G~(r')g(r')dr', i=l,...,m, rEDkF~, (1.4)
D(r)

in D \ F~ and is identical in F~:

v~(r) = =~(r), ~ e r~.
Since the standard estimator of the Monte Carlo method realizes a probability representation of
Neumann series; to construct it, we must represent relation (1.4) in probabilistic form. The simplest
way is to make this by analogy with [4, 5], rewriting (1.4) as

~i(r) = [1 c~ ] [1-cod2(r)/6]-I
s(r)
+ ~ i co~(,-) /
m
m~,A,"),.a_~, ,.., ,,.,, ,,,.,
m 6 -~o o (r)Ur( )r ) ar
j=l D(r)

+ / Gr(r')gi(r')dr', i=l,...,m, rEDkF~. (1.5)

D(r)
The positive quantity co must satisfy the inequality

cod2max/6< 1. (1.fi)

If we introduce one more integer-valued coordinate i in the phase space, then the system of equations
(1.5) can be represented as a single integral equation in the unknown qv(z) = ~v(r,i) = qoi(r):

= K~v + h;

moreover, the sum over i is treated as an integral with respect to the corresponding discrete measure.
The standard estimator of the Monte Carlo method for solving an integral equation realizes a prob-
ability representation of Neumann series and has the following form [6, 7]:
N
~o = &o = ~,o,,o = ~_, Qkh,, (,'k), E~o = ~v(zo) -= r
k=O
where {rk} is some terminating Markov chain and {Qk} are auxiliary weights. In accordance with the
form of integral equation (1.5), such estimator can be constructed by some "random walk by spheres
and balls" in which, with probability 1 - c0d2(rk)/6, the new point rk+l is picked uniformly at random
518
on the sphere S(rk), the index ik+l remains the same, and the weight Q~ is multiplied by the quantity
q(rk, co) = [1 - cod Crk)/6] -1 ; and with probability c0d2(rk)/6 the index ik+l equiprobably takes one
of the values j E ( 1 , . . . , m), the point r~+l is picked inside the ball D(rk) according to the density
6d-2(rl,)Gr~, (r'), and the weight Qk is multiplied by the quantity ci~,ik+l (rk+l)m/co. As a result, we
obtain

Here {rti}, i = 1 , . . . , k - ink, are points picked on spheres; {rki}, i = 1 , . . . ,rnk, are points picked
in balls; and {lk} is the sequence of picked indices. The functions hi(r) are calculated exactly or
are randomized [1]; when the point enters Fe, the chain terminates and the counter increases by the
estimate of a solution multiplied by the weight.
Since the exact solution in Fe is unknown, instead of ~ we consider the actual estimator ~e that
appears in case hi(r) = r for r E F,, where P(r) is a point of the boundary P which is nearest
to r. To justify asymptotic unbiasedness of the quantity ~e as an estimator for a solution to the initial
problem, we present the following assertions:
L e m m a 1. / / t h e conditions

c*>m[cii(r)[, i, j = l , . . . , m , reD; c0<0.638c*

hold, then the Neumann series for equation (1.5) converges.

In the proof of Lemma 1, by a strong analogy with [4, 5] we use a probability representation of
a solution to the Dirichlet problem for the equation Au +cou = C; moreover, r --_ C. Observe that
the condition co < 0.638c* implies inequality (1.6) (see [4, 5]).
T h e o r e m 1. Under the conditions of Lemma 1, there is a unique bounded solution to equa-
tion (1.5) representable as a Neumann series and coincident with a solution to problem (1.1).
T h e o r e m 2. If the first-order derivatives of a solution to problem (1.1) are bounded in D, then
under the conditions of Lemma 1 the quantity E~e - opt(r, i) exists and

lu(r,i)-~(r,i)l <_ const-e, r E D, e > 0, 1= 1,...,m.

We now turn to the question of uniform (in ~) boundedness of the variance D ~ . The following
theorem holds:
T h e o r e m 3. IT the conditions

gi--O, co>rnlcii(r)l, rED, i, j = l , . . . , m ; c0<0.488c*

are satisfied, then D~E < ca < +oo, ~ > O.

In the case of a nonhomogeneous system, to relax the finiteness condition for the variance, we
carry out the following modification of the estimator: We shall calculate the function h(r, i) only in
the case of the step (r,i) -* (r~,i) to a sphere, but with the weight q(r, co), i.e., h(r,i) --, hl(r,i):

hl(rki-l,lki-1) = 0, hl(rti-1,/ti-1) = ql(rti-l,co)h(rti-llti-1).

In place of the estimator ~e, we shall thus consider the modified estimator
N N-mN
~e'l--ZQkhl(Xk)-~ Z Qtih(rt,-l,l~,-1) + QNr
k=0 i=1

The iterated averaging yields E~E,1 = E~.

519
 T h e o r e m 4. Under the conditions of Theorem 3 we have

D~e,1 < Cd,1 < + c ~ , 6 > 0, r 9 D.

Theorems 1-4 are provable by a close analogy with the corresponding assertions in [4, 5].
We can slightly extend the scope of applicability of the constructed algorithm by simulating the
integer-valued coordinate in proportion with the quantities Icij(rk+~)l rather than equiprobably; in
this case Lemma 1 and Theorems 1--4 hold with the conditions

c*,co > Y lcij( )l, i= 1,...,m; r 9 D (1.7)

j-

substituted for the conditions c*, co > mlc//(r)].

Alongside the algorithm, it is possible to construct a vector algorithm for solving problem (1.1).
The base of the latter is system (1.4) without randomizing in j. The vector estimator for the solution
u(r) has the form
N
Co = ~ QkH(rk), u(ro) = Er
k=0
where {rk} is the chain of a "random walk by spheres and balls," Q0 is the identity matrix, and the
weight Qk+l is determined as follows: if rk+l is picked on a sphere, then the matrix Qk is multiplied
by the scalar q(rk, co); while if rk+l is picked inside a ball, then Qk is premultiplied by the matrix
C(rk+l)/co , where C(r)= {cij(r)}. As a result, we obtain

= rnk q(rti-1, co)].

By analogy, we construct the e-biased estimator

N-1
~e,o = ~ QkH(rk) + QNr
k=0
where r = (r162 The assertions of Lemma 1 and Theorems 1-4 are valid for the
vector estimator as well, with conditions (1.7) substituted for the conditions c*, co > mlcij(r)l.
It is easy to observe that the vector estimator is obtainable from the former scalar estimator with
the help of the conditional averaging over j which diminishes the variance. The matrix operations
increase the cost of vector estimation. On the other hand, the vector estimator can be especially
effective in case one needs a dependent estimator for the components of a solution.
The algorithms constructed can be generalized to the case of the Dirichlet problem for an integro-
differential equation of the form

= - =

A
In this case, if during a "random walk by spheres and balls" the new point rk+l is picked inside a ball,
then the new value Ak+l is picked according to the density p(rk+l, Ak, A~) and the weight is multiplied
by the quantity c(rk+l, Ak, Ak+l)/(coP(rk+l, Ak, Ak+l)). The assertions of Lemma 1 and Theorems 1-4
remain valid, provided that the conditions c*, co > m[cii(r)[ are replaced with the conditions

c*, co > Ic(r, 9 D, A, A' 9 A.

520
 By setting
Z)l
p(r, A, A') = f Ic(,-,
A
we obtain the following condition for existence and uniqueness of a solution to the integro-differential
equation under study:
/ [c(r,A,A')[dA' <c*, reD, AEA.
A
Now, consider the first boundary value problem for the system of equations

, , Ou2
Au:+7~r)-~x - g' Au2=0 (1.8)

in a domain D E R s with boundary F under the standard constraints on F, 7, and g:

ullr = r 21r -" r (1.9)

The first equation in (1.8) represents the Poisson equation in the function Ul. The corresponding
randomized e-biased estimator of the Monte Carlo method which uses the "random walk by spheres"
{ri} has the form
~1~= ~ 6d2(ri) [7(pi)0~(xPi) + g(pi)l + r (1.10)
i=0
where Pi is a random point picked in the ball D(ri) from the distribution with a density proportional
to Gri(p) [1]. Furthermore, it is known that the e-biased estimator of the derivative Ou2(p)/Ox can
be constructed on using the "random walk by spheres"

{p(")}, n=O,t,...,Np, p(o)=p,

by differentiating the noncentral spherical weight for the sphere S(p). The estimator has the form [1]

3o~
-

where a is the cosine of the angle between the radius-vector p and the x-axis. Thus, instead of ~/e we
can use the following additionally randomized e-biased estimator:
N
7~ = ~ 6d2(ri)[7(Pi)~'E(Pi)+ g(Pi)] + r (1.11)
i=0

where the quantities { ~(pi) } are conditionally independent for fixed {ri}, since they are constructed
on different trajectories of the "random walk by spheres." In view of the multiplier 1/d(pi), for fixed ri
the quantity D~(pi) diverges logarithmically [1], and becomes a quantity of order I lnel if we assume
~(Pi) - 0 for p~ E Fe. After such modification, the estimator ~'e remains e-biased and its variance
becomes a finite quantity of order I ln e I. The cost of the estimation is determined asymptotically
by the value I ln el ~ because of necessity to simulate additional trajectories. By using the "estimator
by absorption" [6], it is possible to construct an algorithm whose cost is of order I lnel 2. Towards
this end, one should simulate termination of the trajectory with some probability p at each point
ri E D \ Fe. In the case when the trajectory does not terminate, the auxiliary weight is multiplied
by the value 1/(1 - p ) , whereas in the case when the trajectory terminates the weight is multiplied

521
 by 1/p and to the total estimator we add the quantity under the summation sign in (1.11) with the
obtained weight. In view of [4], here it is reasonable to put

p = cod2(ri)/6, co < 0.488c*.

Basing on [4], we can extend the constructed algorithm to the case in which the second equation
in (1.8) has the form Au2 + c(r)u2 = 0, since in [4] it is the spherical Green function for the Laplace
operator that was in use. By analogy with [1], this circumstance enables us, while using all estimators
for a solution of the present article, to simultaneously construct estimators for the corresponding
derivatives with respect to coordinates.
It is easy to see that in the case of piecewise constant functions cij(r) the estimators depend
polynomially on the values of the functions, which allows us to construct easily the ~-biased estimators
for the parametric derivatives [4, 5]. Observe that the estimators for the parametric derivatives
can effectively be used for the iterative solution of inverse problems in parameters with appropriate
regularization (see, for instance, [8]).

w 2. C a l c u l a t i o n of t h e C o v a r i a n c e F u n c t i o n for a S o l u t i o n
to t h e S t o c h a s t i c D i r i c h l e t P r o b l e m
We first consider the Dirichlet problem for the Poisson equation

Au(x) = -a(x), ulr = ~(x), (2.1)

where x = (x(1),x(2),x(3)) E D C R 3. As a(x) we consider some random field with covariance

function K(x, y); in consequence, a solution to problem (2.1) is a random field too. We have to find
the covariance function of u:
v(x,y) = E{u(x)u(y)}.
In the methods known earlier, one averages the product of solutions at two given points for different
realizations of the field a(x) or uses randomized algorithms of the Monte Carlo method [1]. The
method considered below makes it possible to use exactly the covariance function K(x,y) of the
field a.
Averaging the product of two equations of the form (2.1) with arguments x and y, we arrive at
the equation
A~:A,v(x,y) = g ( x , y ) .
Represent it as the system of two equations

A~:w(x,y) = K(x,y), A y v ( x , y ) = w(x,y) (2.2)

with boundary conditions

w(x,y)[,er = AyE{u(x)u(y)}[,er = qo(x)E{a(y)},

"(*, y)lyer = E N ( x ) u ( y ) }lyer = r }.
Generally speaking, to determine the last condition, we preliminarily have to solve the problem

AE{u(x)} = -E{a(x)}, E{u}[r = ~(x).

We shall solve each of the equations (2.2) by the Monte Carlo method on using the algorithm of
a "random walk by spheres" [1]. For the second equation, the integral representation connected with
the algorithm has the form

y0) - 1 y) dy.
4 d (y0) f f
S(yo) D(yo)
522
Here it is reasonable to evaluate the last integral at random for a single node chosen according to the
density 6Gy 0 (y) / d 2 (y0) and representable as [1]

fto = Yo + pw, O < p < d(yo ),

where w is an isotropic unit vector and p is a random variable with distribution density

f(r) = 6r[1 - r/d(uo)l o < r < d(yo).

d2(yo) '
This density is the density of the distribution of the second order statistic of three sample values of
a random variable distributed uniformly in [0, d(y0)] (see [1]).
We have thus constructed the following stochastic estimator for the integral in question:

F(y0) - d2 Y~ + p 0). (2.3)

The corresponding e-biased estimator of the variable v(z, yo) has the form

N-1
= E ff(yn) + P(YlV), (2.4)
n=0

where {Y,~}~=0 is the Markov chain of a "random walk by spheres" terminating at a random point YN
when it enters the e-neighborhood of the boundary, and P(YN) = r where y. is a nearest
point to YN of the boundary.
Thus, in order to find a solution v(xo, yo) to the problem, we must know the values w(xo, yn+pnwn),
n = 0 , . . . , N - 1, and E{u(x0)}. We can evaluate them from the first equation of system (2.2) by
the above method, always using for all w exactly one Markov chain {xm}mM=0 of a "random walk
by spheres" starting at the point x0. By analogy with estimator (2.4), the stochastic estimators for
w(xo, yn + pnWn) have the form
M-1
Pl(xM) = + (2.5)
m=0
N

The quantity F1 (Zm) is determined by an expression of the form (2.3) with the value K(xm + pw, y, +
p,,w,,) substituted for w(z, yo + Powo). It is seen that in such a way we can calculate all the (,, by
using only one Markov chain {zm}M=0 .
The implementation of the algorithm can proceed as follows:
1. Simulate the Markov chain {Y,,}~=0 and the random variables p,, with distribution density f.
The points Yn + pnw,, are thus fixed.
2. Simulate the Markov chain {z,,}M=0 and variables pm with distribution density f.
3. Calculate the quantities Fl(xm).
4. By making use of expression (2.5), find the random variables (n.
5. Calculate the quantities F(y,,) by formulas (2.3); moreover, for w(zo, y, + p,,w,) substitute the
unbiased estimators r found already.
6. Find the value of estimator (2.4).
It is easy to see that this algorithm appears from the algorithm of double randomization [1] after
conditional randomization in a which diminishes the variance.
If x0 C S(yo) then at stage 2 of the algorithm one can use the chain of stage 1 with the weight
of the noncentral Green function [1]; moreover, the algorithm involves only one chain of a "random
walk by spheres."

523
 We now turn to constructing a method for finding the covariance function for the problem
+ = =lr =

in the case when A(x) and g(x) are independent Gaussian random fields. For simplicity, we shall
assume that E,~(z) = Eg(z) = 0 and D~(z) = Dg(x) = 1.
It is natural to use the algorithm of a"random walk by spheres and balls" [4]. As a result of
averaging the product of the corresponding estimators for u(zo) and u(yo) (see w1) with respect to
the distributions of A and 9, we obtain
nN mM
= ~_, ~_, I.,ImiE{Q,,Q~i}Kg(z., + p.,w.,,ymi + pmiwmi),
i=1 j = l

where {Xm}M=o and {Y,,},=oN are the chains of "random walks by spheres and balls" starting at x0
and y0 respectively, and K~(x, y) is the covariance function of the field g. Furthermore,

{[i~ --A('--rkP)'] [n ' ] [t~--~(--rk*)] [mJ~miqt']

E{ Q,,Qm~} = E __ qtt,
Lp=, ca L n=' P=a Cl J L :='

&,mi ( -- E ,~(r~) .
\--Cl/ ( s=a

Here we denote by {r,} the points trkp)p=l and {rk,}z=a that are the respective points, of the Markov
9 . In i -lm i

ni mj
chains {xn}n=0 and {Ym}m=0, picked in balls.
Thus, the estimator has the form
mM in i + i m j

1= 1 \ Clf ( s----1

!-!.,+%
The expression E i l l s = 1 ~(rs)) represents the moment of order L = Ini + lmj of the field ~ and is
calculated by the formula
./2

KX(xl,...,x.) = Z H Kx(x~',~J-t'x=',2i)' (2.6)

otiEA j = l

where A is the set of (n - 1)!! rearrangements of the numbers 1, 2,... ,n such that the inequality
ai,2t-1 < ai,2k, k = 1 , . . . , n/2, holds for each ai E A (ai,p is the pth component of the rearrange-
ment cq).
To bound the weights in the case of a "jump" into a ball, the condition [$[ < co < 0.488c* was
introduced in [4] which guarantees finiteness for the variances of the estimators. For our problem, the
condition transforms into a more flexible:

c-'~- E A(r,) _< 1 VL. (2.7)

s=l

In practically solving the problems, we have L < 8; therefore, the moments of order L > 10 are
replaced by zero. For L < 8, the following estimate holds:

]E(s=~11A(rs))] <-(DA)L/2(L-1)[! <-(L-1)!! < I'8L"

524
Thus, for co _> 1.8 condition (2.7) is satisfied. For co < 1.8, the condition can hold due to the fact
that with high probability the points rs are distributed on the entire domain G at essential distances
from each other and therefore the quantities K~(x, y) in formulas (2.6) for the fields A with small
correlation length are essentially less than unity.
Condition (2.7) is wider than the condition ]A[ < co, since it follows from the latter and at the
same time does not require boundedness for the values of the field at isolated points. The method
allows us to avoid simulating the random fields A and g and to use only moments. That is why the
diminishing of the variance is achieved.
We note that for the stochastic Helmholtz equation Au + )~u = --g the simpler problem of
calculating the first moment, i.e. the expectation Eu(x) = fi(x) of a solution, is meaningful. Averaging
the initial equation, we arrive at the problem

+ = --9, = r
It is interesting to observe that in the case of independent A and g the straightforward averaging of
the probability representation of a solution to the initial problem with respect to the distribution of
the field g demonstrates that fi does not vary if we pass to the equation Au + Au = - 9 . The above-
considered estimators of the Monte Carlo method for this equation can be averaged with respect to
rather simply.
The remarks on the calculation and use of derivatives which were made at the end of w1 are
fully applicable to the problems considered here: estimators for the first- and second-order parametric
derivatives make it possible to effectively estimate the corresponding stochastic moments of a solution
in particular.
The author emphasizes that his interest in developing and applying the Monte Carlo methods
with estimation of derivatives has aroused in the process of work on solving the radiation transport
problems under the leadership of G. I. Marchuk [8].

References
1. B. S. Elepov, A. A. Kronberg, G. A. Mikhailov, and K. K. Sabel'fel'd, Solution of Boundary Value
Problems by the Monte Carlo Method [in Russian], Nauka, Novosibirsk (1980).
2. S. M. Ermakov, V. V. Nekrutkin, and A. S. Sipin, Stochastic Processes for Solving Classical
Equations of Mathematical Physics [in Russian], Nauka, Moscow (1984).
3. O. A. Ladyzhenskaya, V. A. Solonnikov, and N. N. Uralltseva, Linear and Quasilinear Equations
of Parabolic Type [in Russian], Nauka, Moscow (1967).
4. G. A. Mikha~ov, "New Monte Carlo methods for solving the Helmholtz equation," Dokl. RAN,
326, No. 6, 943-947 (1992).
5. G. A. Mikha~ov, "Solving the Dirichlet problem for nonlinear elliptic equations b y the Monte
Carlo method," Sibirsk. Mat. Zh., 35, No. 5, 967-976 (1994).
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7. G. A. Mikha~ov, Optimization of Weighted Monte Carlo Methods [in Russian], Nauka, Moscow
(1987).
8. G. I. Marchuk, G. A. Mikha~ov, M. A. Nazaraliev, R. A. Darbinyan, B. A. Kargin, and B. S. Ele-
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TRANSLATED BY K. M. UMBETOVA

525