Convergence analysis of Markov chain Monte Carlo linear solvers using Ulam-von Neumann algorithm

DOI10.1137/130904867MaRDI QIDQ2855100zbMATHOpenAlexFDO

Authors Hao Ji, Michael Mascagni, Yaohang Li

Publication date 24 October 2013

Published in SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL https://digitalcommons.odu.edu/computerscience_fac_pubs/66

zbMATH Keywords

Markov chain Monte Carlo methodconvergence analysislinear solvertransition probability matrixvon Neumann seriesUlam-von Neumann algorithm

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Complexity and performance of numerical algorithms (65Y20) Analysis of algorithms (68W40) Iterative numerical methods for linear systems (65F10)

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Cited in

(13)

• A parallel Monte Carlo method for solving electromagnetic scattering in clusters of dielectric objects
• A probabilistic linear solver based on a multilevel Monte Carlo method
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• A Fast Monte Carlo Algorithm for Evaluating Matrix Functions with Application in Complex Networks
• A stochastic method for solving time-fractional differential equations
• A Monte Carlo method for computing the action of a matrix exponential on a vector
• Randomized vector iterative linear solvers of high precision for large dense system
• A highly parallel algorithm for computing the action of a matrix exponential on a vector based on a multilevel Monte Carlo method
• A new \textit{walk on equations} Monte Carlo method for solving systems of linear algebraic equations
• A new Monte Carlo method for solving system of linear algebraic equations
• Approximating matrix eigenvalues by subspace iteration with repeated random sparsification
• Multiway Monte Carlo method for linear systems
• An improved ``walk on equations Monte Carlo algorithm for linear algebraic systems

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