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Robustness and applicability of Markov chain Monte Carlo algorithms for eigenvalue problems

Dimov, I., Philippe, B., Karaivanova, A. and Weihrauch, C. (2008) Robustness and applicability of Markov chain Monte Carlo algorithms for eigenvalue problems. Applied Mathematical Modelling, 32 (8). pp. 1511-1529. ISSN 0307-904X

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To link to this item DOI: 10.1016/j.apm.2007.04.012

Abstract/Summary

In this paper we analyse applicability and robustness of Markov chain Monte Carlo algorithms for eigenvalue problems. We restrict our consideration to real symmetric matrices. Almost Optimal Monte Carlo (MAO) algorithms for solving eigenvalue problems are formulated. Results for the structure of both - systematic and probability error are presented. It is shown that the values of both errors can be controlled independently by different algorithmic parameters. The results present how the systematic error depends on the matrix spectrum. The analysis of the probability error is presented. It shows that the close (in some sense) the matrix under consideration is to the stochastic matrix the smaller is this error. Sufficient conditions for constructing robust and interpolation Monte Carlo algorithms are obtained. For stochastic matrices an interpolation Monte Carlo algorithm is constructed. A number of numerical tests for large symmetric dense matrices are performed in order to study experimentally the dependence of the systematic error from the structure of matrix spectrum. We also study how the probability error depends on the balancing of the matrix. (c) 2007 Elsevier Inc. All rights reserved.

Item Type:Article
Refereed:Yes
Divisions:Faculty of Science
ID Code:15210
Uncontrolled Keywords:Monte Carlo algorithms, Markov chain, eigenvalue problem, robust algorithms

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