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Error analysis of a Monte Carlo algorithm for computing bilinear forms of matrix powers

Dimov, I., Alexandrov, V., Branford, S. and Weihrauch, C. (2006) Error analysis of a Monte Carlo algorithm for computing bilinear forms of matrix powers. Lecture Notes in Computer Science, 3993. pp. 632-639. ISSN 0302-9743 3540343830

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Abstract/Summary

In this paper we present error analysis for a Monte Carlo algorithm for evaluating bilinear forms of matrix powers. An almost Optimal Monte Carlo (MAO) algorithm for solving this problem is formulated. Results for the structure of the probability error are presented and the construction of robust and interpolation Monte Carlo algorithms are discussed. Results are presented comparing the performance of the Monte Carlo algorithm with that of a corresponding deterministic algorithm. The two algorithms are tested on a well balanced matrix and then the effects of perturbing this matrix, by small and large amounts, is studied.

Item Type:Article
Refereed:Yes
Divisions:Faculty of Science > School of Systems Engineering
ID Code:15203
Uncontrolled Keywords:Monte Carlo algorithms, matrix computations, performance analysis, iterative process
Additional Information:Proceedings Paper 6th International Conference on Computational Science (ICCS 2006) MAY 28-31, 2006 Reading, ENGLAND

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