On solving integral equations using Markov chain Monte Carlo methods

DOI10.1016/j.amc.2010.03.138zbMath1193.65217MaRDI QIDQ984311

Arnaud Doucet, Adam M. Johansen, Vladislav B. Tadić

Publication date: 19 July 2010

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2010.03.138

zbMATH Keywords

numerical examples; sequential Monte Carlo; Fredholm equation; sequential importance sampling; second kind; trans-dimensional Markov chain Monte Carlo; von Neumann expansion

Mathematics Subject Classification ID

60J22: Computational methods in Markov chains

65C05: Monte Carlo methods

65R20: Numerical methods for integral equations

65C40: Numerical analysis or methods applied to Markov chains

45B05: Fredholm integral equations

Related Items

Monte Carlo Method for Solving the Fredholm Integral Equations of the Second Kind, Observer-based finite-time control of time-delayed jump systems

Cites Work

• Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
• Using triangular orthogonal functions for solving Fredholm integral equations of the second kind
• Simulating probability distributions in the coalescent
• Solving linear integral equations of the second kind with repeated modified trapezoid quadrature method
• Sequential Monte Carlo Methods in Practice
• Is There a Curse of Dimensionality for Contraction Fixed Points in the Worst Case?
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item