Combined probabilistic algorithm for solving high dimensional problems

DOI10.1080/17442508.2014.914515MaRDI QIDQ5265773zbMATH OpenOpenAlexFDO

Authors Rahman Farnoosh, Mahboubeh Aalaei, Morteza Ebrahimi

Publication date 29 July 2015

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442508.2014.914515

zbMATH Keywords

Fredholm integral equationGalerkin methoditerative refinement techniquelinear systemmodified Monte Carlo method

Mathematics Subject Classification ID

Fredholm integral equations (45B05) Monte Carlo methods (65C05) Iterative numerical methods for linear systems (65F10)

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Cites work

• A BSP recursive divide and conquer algorithm to solve a tridiagonal linear system
• A fast numerical solution method for two dimensional Fredholm integral equations of the second kind based on piecewise polynomial interpolation
• A fast wavelet collocation method for integral equations on polygons
• A new iterative Monte Carlo approach for inverse matrix problem
• A new polynomial approach for solving difference and Fredholm integro-difference equations with mixed argument
• A note on the recursive decoupling method for solving tridiagonal linear systems
• Computation of strained epitaxial growth in three dimensions by kinetic Monte Carlo
• Conjugate Gradient Methods for Toeplitz Systems
• Fast numerical collocation solutions of integral equations
• Four Variants of the Galerkin Method for Integral Equations of the Second Kind
• Monte Carlo method via a numerical algorithm to solve a parabolic problem
• Numerical method for analysis of one- and two-dimensional electromagnetic scattering based on using linear Fredholm integral equation models
• Parallel Monte Carlo algorithms for information retrieval
• Parallel multipole BEM simulation of two-dimensional suspension flows
• Richardson extrapolation of iterated discrete Galerkin solution for two-dimensional Fredholm integral equations
• Solution of high-order linear Fredholm integro-differential equations with piecewise intervals
• Solving systems of linear equations with relaxed Monte Carlo method
• The approximate solution of high-order linear difference equations with variable coefficients in terms of Taylor polynomials

Cited in

(3)

• High-dimensional optimization and probability. With a view towards data science
• An adaptive Monte Carlo algorithm for European and American options
• A generalized adaptive Monte Carlo algorithm based on a two-step iterative method for linear systems and its application to option pricing

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