Monte Carlo linear solvers with non-diagonal splitting

نویسنده

  • A. Srinivasan
چکیده

Monte Carlo (MC) linear solvers can be considered stochastic realizations of deterministic stationary iterative processes. That s, they estimate the result of a stationary iterative technique for solving linear systems. There are typically two sources of errors: i) those from the underlying deterministic iterative process and (ii) those from the MC process that performs the estimation. Much rogress has been made in reducing the stochastic errors of the MC process. However, MC linear solvers suffer from the drawback hat, due to efficiency considerations, they are usually stochastic realizations of the Jacobi method (a diagonal splitting), which as poor convergence properties. This has limited the application of MC linear solvers. The main goal of this paper is to show hat efficient MC implementations of non-diagonal splittings too are feasible, by constructing efficient implementations for one uch splitting. As a secondary objective, we also derive conditions under which this scheme can perform better than MC Jacobi, nd demonstrate this experimentally. The significance of this work lies in proposing an approach that can lead to efficient MC mplementations of a wider variety of deterministic iterative processes. 2009 IMACS. Published by Elsevier B.V. All rights reserved.

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عنوان ژورنال:
  • Mathematics and Computers in Simulation

دوره 80  شماره 

صفحات  -

تاریخ انتشار 2010