Stochastic inverse matrix computation with minimum variance of errors

DOI10.1016/J.AMC.2007.09.040MaRDI QIDQ924396zbMATH OpenOpenAlexFDO

Authors Behrouz Fathi Vajargah

Publication date 16 May 2008

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

Full work available at URL https://doi.org/10.1016/j.amc.2007.09.040

zbMATH Keywords

numerical examplesMonte Carlo methodmatrix inversionminimum variancelength of Markov chainsnumber of trajectoriesprobability transition

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Direct numerical methods for linear systems and matrix inversion (65F05)

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Cites work

• scientific article; zbMATH DE number 3841285 (Why is no real title available?)
• scientific article; zbMATH DE number 3454731 (Why is no real title available?)
• Different stochastic algorithms to obtain matrix inversion
• New advantages to obtain accurate matrix inversion

Cited in

(5)

• Constructing optimal transition matrix for Markov chain Monte Carlo
• Numerical instability of calculating inverse of spatial covariance matrices
• A way to obtain Monte Carlo matrix inversion with minimal error
• An analysis of stochastic variance reduced gradient for linear inverse problems ^*
• Targetted stochastic matrix inversion

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