DOI

A linear algebraic system is solved by the Monte Carlo method generating a vector stochastic series. The expectation of a stochastic series coincides with the Neumann series presenting the solution of a linear algebraic system. An analytical form of the covariation matrix of this series is obtained, and this matrix is used to estimate the exactness of the system solution. The sufficient conditions for the boundedness of the covariation matrix are found. From these conditions, it follows the stochastic stability of the algorithm using the Monte Carlo method. The number of iterations is found, which provides for the given exactness of solution with the large enough probability. The numerical examples for systems of the order 3 and of the order 100 are presented.

Язык оригиналаанглийский
Название основной публикацииStatistics and Simulation - IWS 8, Vienna, Austria, September 2015
РедакторыJurgen Pilz, Viatcheslav B. Melas, Dieter Rasch, Karl Moder
ИздательSpringer Nature
Страницы71-84
Число страниц14
ISBN (печатное издание)9783319760346
DOI
СостояниеОпубликовано - 1 янв 2018
Событие8th International Workshop on Simulation, IWS 2015 - Vienna, Австрия
Продолжительность: 21 сен 201525 сен 2015

Серия публикаций

НазваниеSpringer Proceedings in Mathematics and Statistics
Том231
ISSN (печатное издание)2194-1009
ISSN (электронное издание)2194-1017

конференция

конференция8th International Workshop on Simulation, IWS 2015
Страна/TерриторияАвстрия
ГородVienna
Период21/09/1525/09/15

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