Convergence Analysis of Markov Chain Monte Carlo Linear Solvers Using Ulam--von Neumann Algorithm

DOI10.1137/130904867zbMath1282.65015OpenAlexW2033459956MaRDI QIDQ2855100

Yaohang Li, Michael Mascagni, Hao Ji

Publication date: 24 October 2013

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://digitalcommons.odu.edu/computerscience_fac_pubs/66

zbMATH Keywords

convergence analysistransition probability matrixMarkov chain Monte Carlo methodlinear solvervon Neumann seriesUlam-von Neumann algorithm

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Analysis of algorithms (68W40) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Iterative numerical methods for linear systems (65F10) Complexity and performance of numerical algorithms (65Y20)

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