Convergence of discrete-stochastic numerical procedures with independent or weakly dependent estimators at grid nodes

DOI10.1016/S0378-3758(99)00081-6MaRDI QIDQ1973296zbMATH OpenFDO

Authors E. V. Shkarupa, A. V. Vojtishek

Publication date 2 September 2001

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0378-3758(99)00081-6

zbMATH Keywords

C-metric approachconjugate wandering methodconvergence in probabilityerror estimatesMonte Carlo methodspolygon of frequencies methodstochastic-numerical approximation of integral equations

Mathematics Subject Classification ID

Fredholm integral equations (45B05) Monte Carlo methods (65C05) Numerical methods for integral equations (65R20)

Review text

The conjugate wandering method and the polygon of frequencies method are considered to approximate the solution of deterministic integral equations of the second kind \[ \phi (x) = \int_X K(y,x) \phi (y) dy + \psi (x) \] on a compact subset \(D\) of a bounded range \(X \subseteq R^l\), where \(\phi, \psi \in B\) (an appropriate Banach space of integrable functions). In contrast to independent Monte Carlo estimators, the polygon of frequencies method provides weakly dependent estimators for the solution \(\phi\). The probabilistic \(C\)-metric given by \[ \text{Prob} \Bigl\{\sup_{x \in D} |\phi (x) - L_{(M)} \widetilde{\phi}(x)|<G(M,\overline{n},\overline{p}) \Bigr\}> 1 - \varepsilon \] for small \(\varepsilon> 0\) and approximation \(L_{(M)} \widetilde{\phi}(x)\) of transformed solution \(\widetilde{\phi}\), along with convergence in probability, are used to establish convergence of the mentioned numerical approximations while \(G(.) \to + \infty\) when the number of grid points \(M\) and sample points \(\overline{n} \to + \infty\).

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Cites work

• Convergence asymptotics of discrete-stochastic numerical methods for global estimation of a solution to an integral equation of the second kind
• scientific article; zbMATH DE number 4046970 (Why is no real title available?)
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• New Monte Carlo methods with estimating derivatives
• On the errors of discretely stochastic procedures in estimating globally the solution of an integral equation of the second kind

Cited in

(5)

• Error estimation and optimization for the frequency polygon method in the \(\mathbb{C}\)-metric
• Conditional optimization of the functional computational kernel algorithm for approximating the probability density on the basis of a given sample
• Classification and applications of randomized functional numerical algorithms for the solution of second-kind Fredholm integral equations
• Development and optimization of randomized functional numerical methods for solving the practically significant Fredholm integral equations of the second kind
• On numerical stability of randomized projection functional algorithms

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