Optimization of the quasi-Monte Carlo algorithm for solving systems of linear algebraic equations

DOI10.3103/S106345410801010XzbMath1152.65009OpenAlexW2072796538MaRDI QIDQ946046

A. I. Rukavishnikova

Publication date: 22 September 2008

Published in: Vestnik St. Petersburg University. Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3103/s106345410801010x

zbMATH Keywords

Markov chainminimum varianceestimatequasi-Monte Carlo methodsystems of linear algebraic equationsmodified methodoptimal parameters of the Markov chain

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Iterative numerical methods for linear systems (65F10) Direct numerical methods for linear systems and matrix inversion (65F05)

Cites Work

• Addendum to a paper on the Monte Carlo method
• Asymptotic complexity of Monte Carlo methods for solving linear systems
• Monte Carlo difference schemes for the wave equation
• Quasi-Probability: Why quasi-Monte-Carlo methods are statistically valid and how their errors can be estimated statistically
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