Quasi- Monte Carlo algorithms for solving linear algebraic equations

S.M. Ermakov and A. Rukavishnikova

Monte Carlo Methods and Applications, 2006, vol. 12, issue 5, 363-384

Abstract: In this article, the QMC method is applied to solving linear algebraic equations. In particular a finite difference analogue of the five-dimensional Laplace equation is examined. The error distribution is studied for linear systems and some high-dimensional integrals. A modification of the QMC method for linear systems is suggested which allows to considerably reduce the constructive dimension of the algorithm.

Date: 2006
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DOI: 10.1515/156939606779329071

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