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Ermakov S.M., Rukavishnikova A.

Quasi- Monte Carlo algorithms for solving linear algebraic equations

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.

Monte Carlo Methods and Applications, Walter de Gruyter

Print ISSN: 0929-9629
Volume: 12, 11/2006
Pages: 363 - 384

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