Assessing Stochastic Algorithms for Large Scale Nonlinear Least Squares Problems Using Extremal Probabilities of Linear Combinations of Gamma Random Variables

DOI10.1137/14096311XzbMath1327.65013arXiv1404.0122MaRDI QIDQ3452518

Gábor J. Székely, Farbod Roosta-Khorasani, Uri M. Ascher

Publication date: 12 November 2015

Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1404.0122

zbMATH Keywords

inverse problemsMonte Carlo methodsrandomized algorithmslarge scale simulationtrace estimationgamma random variableextremal probability

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Monte Carlo methods (65C05) Probability distributions: general theory (60E05) Randomized algorithms (68W20)

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