The iteration algorithm is used to solve systems of linear algebraic equations by the Monte-Carlo method. Each next iteration is simulated as a random vector such that its expectation coincides with the Seidel approximation of the iteration process. We deduce a system of linear equations such that mutual correlations of components of the limit vector and correlations of two iterations satisfy them. We prove that limit dispersions of the random vector of solutions of the system exist and are finite.

Original languageEnglish
Pages (from-to)269-276
Number of pages8
JournalVestnik St. Petersburg University: Mathematics
Volume49
Issue number3
DOIs
StatePublished - 1 Jul 2016

    Scopus subject areas

  • Mathematics(all)

    Research areas

  • system of linear algebraic equations, the Monte-Carlo method, the Seidel algorithm

ID: 15681063