A New Walk on Equations Monte Carlo Method for Linear Algebraic Problems

Лектор: проф. Иван Димов
Час: 16:00
Дата: 14.02.2023
Място: Зала 503 на ИМИ-БАН

Резюме: A new Walk on Equations (WE) Monte Carlo algorithm for Linear Algebra (LA) problem, namely, functionals of the solution, eigenvalue problems, etc., is proposed and studied. This algorithm relies on a non-discounted sum of an absorbed random walk. It can be applied for either real or complex matrices. Several techniques like simultaneous scoring or the sequential Monte Carlo method are applied to improve the basic algorithm. Numerical tests are performed on examples with matrices of different size and on systems coming from various important applications. Comparisons with standard deterministic, including unimprovable Conjugate Gradient Method (CGM) or Monte Carlo algorithms will be also presented.

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