On the convergence of Monte Carlo method to solve system of linear algebraic equations
Publish place: 2rd International Conference on Soft Computing
Publish Year: 1396
نوع سند: مقاله کنفرانسی
زبان: English
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شناسه ملی سند علمی:
CSCG02_016
تاریخ نمایه سازی: 7 اسفند 1396
Abstract:
In this study, after reviewing the Monte Carlo method for solving system of linear algebraic equations and convergence theorems, we discuss more the convergence of the Monte Carlo method using the Ulam-von Neumann algorithm related to selection the transition probability matrix. Moreover we investigate the convergence conditionsin the special cases of the introduced transition probability matrix. Finally, we represent numerical results to illustrate the efficiency of the theoretical results
Keywords:
System of linear algebraic equations , Markov chain Monte Carlo , Convergence analysis , Transition probability matrix
Authors
Behrouz Fathi-Vajargah
Department of Statistics, University of Guilan, P.O. Box ۴۱ ۳۳۵-۱۹۱۴
Zeinab Hassanzadeh
Department of Applied Mathematics, University of Guilan, P.O. Box ۴۱ ۳۳۵-۱۹۱۴