A parallel quasi-Monte Carlo method for computing extremal eigenvalues

MaRDI QIDQ4549515zbMATH OpenFDO

Authors Michael Mascagni, Aneta Karaivanova

Publication date 13 January 2003

zbMATH Keywords

convergenceerror boundextremal eigenvalueslarge sparse matricesMarkov chainMonte Carlo methodsnumerical experimentsnumerical integrationpseudorandom numbersquasirandom numbers

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical computation of eigenvalues and eigenvectors of matrices (65F15) Computational methods for sparse matrices (65F50)

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Cited in

(5)

• A robust and accurate quasi-Monte Carlo algorithm for estimating eigenvalue of homogeneous integral equations
• Matrix computations using quasirandom sequences
• Parallel stochastic estimation method of eigenvalue distribution
• Quasi Monte Carlo algorithm for computing smallest and largest generalised eigenvalues
• Parallel computations of eigenvalues based on a Monte Carlo approach

Describes a project that uses

Uses Software

• SPRNG

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