On solving integral equations using Markov chain Monte Carlo methods

DOI10.1016/j.amc.2010.03.138zbMath1193.65217OpenAlexW2018958189MaRDI QIDQ984311

Vladislav B. Tadić, Adam M. Johansen, Arnaud Doucet

Publication date: 19 July 2010

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

Full work available at URL: https://doi.org/10.1016/j.amc.2010.03.138

zbMATH Keywords

numerical examplessequential Monte CarloFredholm equationsequential importance samplingsecond kindtrans-dimensional Markov chain Monte Carlovon Neumann expansion

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Numerical methods for integral equations (65R20) Numerical analysis or methods applied to Markov chains (65C40) Fredholm integral equations (45B05)

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Using the Monte Carlo method to solve integral equations using a modified control variate ⋮ Monte Carlo Method for Solving the Fredholm Integral Equations of the Second Kind ⋮ Observer-based finite-time control of time-delayed jump systems ⋮ A new numerical method for a class of Volterra and Fredholm integral equations ⋮ Volterra integral equations: an approach based on Lipschitz-continuity ⋮ Path Space Markov Chain Monte Carlo Methods in Computer Graphics ⋮ Projected regression method for solving Fredholm integral equations arising in the analytic continuation problem of quantum physics ⋮ A Particle Method for Solving Fredholm Equations of the First Kind ⋮ Advanced Biased Stochastic Approach for Solving Fredholm Integral Equations

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