On solving integral equations using Markov chain Monte Carlo methods

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

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

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 examples; sequential Monte Carlo; Fredholm equation; sequential importance sampling; second kind; trans-dimensional Markov chain Monte Carlo; von Neumann expansion

Mathematics Subject Classification ID

60J22: Computational methods in Markov chains

65C05: Monte Carlo methods

65R20: Numerical methods for integral equations

65C40: Numerical analysis or methods applied to Markov chains

45B05: Fredholm integral equations

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Projected regression method for solving Fredholm integral equations arising in the analytic continuation problem of quantum physics, Monte Carlo Method for Solving the Fredholm Integral Equations of the Second Kind, Using the Monte Carlo method to solve integral equations using a modified control variate, Observer-based finite-time control of time-delayed jump systems, Path Space Markov Chain Monte Carlo Methods in Computer Graphics

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