A stochastic algorithm to solve multiple dimensional Fredholm integral equations of the second kind

MaRDI QIDQ462963zbMATH OpenFDO

Authors Rahman Farnoosh, Mahboubeh Aalaei

Publication date 22 October 2014

Published in Bulletin of the Iranian Mathematical Society (Search for Journal in Brave)

Full work available at URL http://bims.iranjournals.ir/article_508_62.html

zbMATH Keywords

continuous Markov chain Monte Carlo methodconvergenceerror estimationFredholm integral equationsnumerical resultstochastic algorithm

Mathematics Subject Classification ID

Fredholm integral equations (45B05) Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Numerical methods for integral equations (65R20)

Review text

This article focuses on a new stochastic algorithm that is able to solve multiple dimensional Fredholm integral equations of the second kind. The authors describe the solution of the integral equation by a Neumann series expansion. Each term of this series expansion is interpreted as an expectation. The expectation is then approximated by a continuous Markov chain Monte Carlo method. Next, an algorithm is proposed to simulate such a continuous Markov chain with a probability density function that arises from an important sampling technique. The authors establish some theoretical results in a normed space. Precisely, they provide a convergence condition and an error estimation of the new proposed method. It is noteworthy that the method itself has a simple structure and can be easily parallized due to the fact that many independent sample paths are used for estimating the solution. Additionally, numerical results in two dimensions are presented to confirm the efficiency and the accuracy of the new stochastic algorithm.

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Cited in

(8)

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• Numerical solution of two-dimensional stochastic Fredholm integral equations on hypercube domains via meshfree approach
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• Two stochastic methods for solving integral equations and their comparison
• Combined probabilistic algorithm for solving high dimensional problems
• Optimized stochastic approaches based on Sobol quasirandom sequences for Fredholm integral equations of the second kind
• Advanced Biased Stochastic Approach for Solving Fredholm Integral Equations
• On solving integral equations using Markov chain Monte Carlo methods

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