Table 3 Convergence sparse grid \(\omega=1, 2, 3, 4, 5\). Monte Carlo solutions mean 3.6879e+01 and standard deviation 5.9820e−01
ω = 1 | ω = 2 | ω = 3 | ω = 4 | ω = 5 | |
|---|---|---|---|---|---|
Points | 11 | 61 | 241 | 801 | 2433 |
Mean | 3.7765e+01 | 3.7338e+01 | 3.6779e+01 | 3.6926e+01 | 3.6842e+01 |
Std. Dev. | 8.5236e−01 | 6.0479e−01 | 6.8795e−01 | 5.94229e−01 | 6.1646e−01 |
Mean error | 8.8542e−01 | 4.5846e−01 | 9.9622e−02 | 4.6040e−02 | 3.7463e−02 |
Std. Dev. error | 2.5416e−01 | 6.5885e−03 | 8.97506e−02 | 3.9754e−03 | 1.8257e−02 |
\(L_{1}\) error | 9.0194e−01 | 4.6129e−01 | 1.4612e−01 | 5.5369e−02 | 4.9122e−02 |