Using the Monte Carlo method to solve integral equations using a modified control variate

DOI10.1016/J.AMC.2014.06.079zbMath1334.65213OpenAlexW2041186897MaRDI QIDQ279646

Yan Zaizai, Hong Zhimin

Publication date: 28 April 2016

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

Full work available at URL: https://doi.org/10.1016/j.amc.2014.06.079

zbMATH Keywords

Fredholm integral equationMonte Carlo simulationvariance reductionmodified control variatesuccessive approximations method

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical methods for integral equations (65R20) Applications of statistics (62P99) Fredholm integral equations (45B05)

Uses Software

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Cites Work

• On solving integral equations using Markov chain Monte Carlo methods
• Solving linear integral equations of the second kind with repeated modified trapezoid quadrature method
• Monte Carlo method for solving Fredholm integral equations of the second kind
• Using the WPG method for solving integral equations of the second kind
• A variance reduction method based on sensitivity derivatives
• A method for obtaining bounds on eigenvalues and eigenfunctions by solving non-homogeneous integral equations
• Monte Carlo simulation for solving Fredholm integral equations
• Is There a Curse of Dimensionality for Contraction Fixed Points in the Worst Case?
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