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Feb 16, 2016 at 11:07 comment added Tamás Czárán Thank you, Alexei, the AdaptiveMonteCarlo method with the MinRecursion option set sufficiently high above zero seems to do the trick. The speed is not very impressive, but acceptable. I doubt I can expect much more than that with my 2D diffusion problem :-) Thanks again for your help!
Feb 15, 2016 at 16:05 comment added Alexei Boulbitch @Tamás Czárán Try to look into tutorial/NIntegrateIntegrationStrategies#65285686/Global Adaptive Monte Carlo and Quasi Monte Carlo Strategies. There are some examples including those with spikes.
Feb 15, 2016 at 14:23 comment added Tamás Czárán Indeed, the single spike of the NS function - which remains spiky all along the simulation - is often missed by the AdaptiveMonteCarlo algorithm - roughly in a fifth of the cases the integral is of zero value which it definitely should not be. (I can't copy code here, unfortunately.) Probably there is a way to increase the MC sampling density, isn't there?
Feb 15, 2016 at 10:50 comment added Tamás Czárán Thanks for the suggestion - I will try it now with the AdaptiveMonteCarlo algorithm. My worry in the first place (the reason I did not try it) was that the initial conditions for S and NS are very spiky Gaussians, which might not be hit by a random sampling algorithm, but that was just a gut feeling - you might well be right that I should use it instead.
Feb 12, 2016 at 9:18 history answered Alexei Boulbitch CC BY-SA 3.0