Random-walk interpretations of classical iteration methods

DOI10.1016/0024-3795(93)00101-5zbMath0821.65014MaRDI QIDQ1805214

Neal Madras, Jonathan B. Goodman

Publication date: 12 June 1995

Published in: Linear Algebra and its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0024-3795(93)00101-5

zbMATH Keywords

convergence rates; Jacobi method; probabilistic interpretations; relaxation methods; underrelaxation; discrete Laplacian operators; five-point Laplacian; Gauss-Seidel iteration methods; Gauss-Seidel red-black ordering; Gauss-Seidel standard ordering; nine-point Laplacian; random-walk interpretations

Mathematics Subject Classification ID

65F10: Iterative numerical methods for linear systems

35J05: Laplace operator, Helmholtz equation (reduced wave equation), Poisson equation

65N06: Finite difference methods for boundary value problems involving PDEs

Related Items

Fast Randomized Iteration: Diffusion Monte Carlo through the Lens of Numerical Linear Algebra, MALA-within-Gibbs Samplers for High-Dimensional Distributions with Sparse Conditional Structure

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