Robustness and applicability of Markov chain Monte Carlo algorithms for eigenvalue problems

DOI10.1016/j.apm.2007.04.012zbMath1176.65003OpenAlexW2163575149MaRDI QIDQ1031572

J. Blot

Publication date: 30 October 2009

Published in: Applied Mathematical Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apm.2007.04.012

zbMATH Keywords

numerical exampleseigenvalue problemMarkov chainstochastic matricesMonte Carlo algorithmsrobust algorithms

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Numerical computation of eigenvalues and eigenvectors of matrices (65F15) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Stochastic matrices (15B51)

Related Items (6)

Monte Carlo method for estimating eigenvalues using error balancing ⋮ An Improved “Walk on Equations” Monte Carlo Algorithm for Linear Algebraic Systems ⋮ A new \textit{walk on equations} Monte Carlo method for solving systems of linear algebraic equations ⋮ A global random walk on grid algorithm for second order elliptic equations ⋮ Stochastic Algorithms in Linear Algebra - beyond the Markov Chains and von Neumann - Ulam Scheme ⋮ Multiway Monte Carlo Method for Linear Systems

Cites Work

• Random walk on distant mesh points Monte Carlo methods
• Monte Carlo algorithms: Performance analysis for some computer architectures
• Variational variance reduction for particle transport eigenvalue calculations using Monte Carlo adjoint simulation.
• Parallel computations of eigenvalues based on a Monte Carlo approach
• Parallel Quasi-Monte Carlo Methods for Linear Algebra Problems
• SYSTOLIC MATRIX INVERSION USING A MONTE CARLO METHOD
• “Monte Carlo” Methods for the Iteration of Linear Operators
• Parallel resolvent Monte Carlo algorithms for linear algebra problems
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