Accessibility navigation

Finding the smallest eigenvalue by the inverse Monte Carlo method with refinement

Alexandrov, V. and Karaivanova, A. (2005) Finding the smallest eigenvalue by the inverse Monte Carlo method with refinement. In: Sunderam, V. S., VanAlbada, G. D., Sloot, P. M. A. and Dongarra, J. J. (eds.) Computational Science - Iccs 2005, Pt 3. Lecture Notes in Computer Science, 3516. Springer-Verlag Berlin, Berlin, pp. 766-774. ISBN 0302-9743 3-540-26044-7

Full text not archived in this repository.

It is advisable to refer to the publisher's version if you intend to cite from this work. See Guidance on citing.


Finding the smallest eigenvalue of a given square matrix A of order n is computationally very intensive problem. The most popular method for this problem is the Inverse Power Method which uses LU-decomposition and forward and backward solving of the factored system at every iteration step. An alternative to this method is the Resolvent Monte Carlo method which uses representation of the resolvent matrix [I -qA](-m) as a series and then performs Monte Carlo iterations (random walks) on the elements of the matrix. This leads to great savings in computations, but the method has many restrictions and a very slow convergence. In this paper we propose a method that includes fast Monte Carlo procedure for finding the inverse matrix, refinement procedure to improve approximation of the inverse if necessary, and Monte Carlo power iterations to compute the smallest eigenvalue. We provide not only theoretical estimations about accuracy and convergence but also results from numerical tests performed on a number of test matrices.

Item Type:Book or Report Section
ID Code:14332
Uncontrolled Keywords:Monte Carlo methods, eigenvalues, Markov chains, parallel computing, parallel efficiency, ALGORITHMS
Publisher:Springer-Verlag Berlin

University Staff: Request a correction | Centaur Editors: Update this record

Page navigation