On solving integral equations using Markov chain Monte Carlo methods

DOI10.1016/J.AMC.2010.03.138MaRDI QIDQ984311zbMATH OpenOpenAlexFDO

Authors 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

sequential Monte Carlonumerical examplessequential importance samplingFredholm equationsecond kindtrans-dimensional Markov chain Monte Carlovon Neumann expansion

Mathematics Subject Classification ID

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

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Cited in

(14)

• 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
• scientific article; zbMATH DE number 4201568 (Why is no real title available?)
• scientific article; zbMATH DE number 1752435 (Why is no real title available?)
• A Particle Method for Solving Fredholm Equations of the First Kind
• scientific article; zbMATH DE number 4098698 (Why is no real title available?)
• Observer-based finite-time control of time-delayed jump systems
• Path Space Markov Chain Monte Carlo Methods in Computer Graphics
• Advanced Biased Stochastic Approach for Solving Fredholm Integral Equations
• Projected regression method for solving Fredholm integral equations arising in the analytic continuation problem of quantum physics
• Volterra integral equations: an approach based on Lipschitz-continuity
• scientific article; zbMATH DE number 6468196 (Why is no real title available?)
• scientific article; zbMATH DE number 6118049 (Why is no real title available?)
• A new numerical method for a class of Volterra and Fredholm integral equations

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