Computing high dimensional multiple integrals involving matrix exponentials

DOI10.1016/j.cam.2022.114844zbMath1506.65066OpenAlexW4296903459MaRDI QIDQ2095151

Yanyan Li

Publication date: 9 November 2022

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2022.114844

zbMATH Keywords

multiple integralmatrix exponentialphi-functionKrylov-subspace

Mathematics Subject Classification ID

Matrix exponential and similar functions of matrices (15A16) Numerical computation of matrix exponential and similar matrix functions (65F60)

Uses Software

• Expokit
• Algorithm 919
• phipm

Cites Work

• Unnamed Item
• Simplified formulas for the mean and variance of linear stochastic differential equations
• A weak local linearization scheme for stochastic differential equations with multiplicative noise
• Convergence rate of strong local linearization schemes for stochastic differential equations with additive noise
• Exponential multistep methods of Adams-type
• Stochastic models, estimation, and control. Vol. 2,3
• A higher order local linearization method for solving ordinary differential equations
• Linear estimation of continuous-discrete linear state space models with multiplicative noise
• Locally linearized Runge-Kutta method of Dormand and Prince for large systems of initial value problems
• Computing multiple integrals involving matrix exponentials
• Efficient integration of large stiff systems of ODEs with exponential propagation iterative (EPI) methods
• Algorithm 919
• Analysis of Some Krylov Subspace Approximations to the Matrix Exponential Operator
• Computing integrals involving the matrix exponential
• Nineteen Dubious Ways to Compute the Exponential of a Matrix
• Expokit
• On Krylov Subspace Approximations to the Matrix Exponential Operator
• Optimal Estimation of Dynamic Systems
• Bias reduction in the estimation of diffusion processes from discrete observations
• Approximate linear minimum variance filters for continuous-discrete state space models: convergence and practical adaptive algorithms
• Local Linearization Method for Numerical Integration of Delay Differential Equations

This page was built for publication: Computing high dimensional multiple integrals involving matrix exponentials