Join Our Newsletter

Free Online Productivity Tools
i2Speak
i2Symbol
i2OCR
iTex2Img
iWeb2Print
iWeb2Shot
i2Type
iPdf2Split
iPdf2Merge
i2Bopomofo
i2Pinyin
i2Cantonese
i2Cangjie
i2Arabic
i2Style
i2Image
i2PDF
iLatex2Rtf
Sci2ools

NAA

2000

Springer

2000

Springer

Abstract. The convergence of Monte Carlo method for numerical integration can often be improved by replacing pseudorandom numbers (PRNs) with more uniformly distributed numbers known as quasirandom numbers(QRNs). Standard Monte Carlo methods use pseudorandom sequences and provide a convergence rate of O(N-1/2 ) using N samples. Quasi-Monte Carlo methods use quasirandom sequences with the resulting convergence rate for numerical integration as good as O((logN)k )N-1 ). In this paper we study the possibility of using QRNs for computing matrix-vector products, solving systems of linear algebraic equations and calculating the extreme eigenvalues of matrices. Several algorithms using the same Markov chains with different random variables are described. We have shown, theoretically and through numerical tests, that the use of quasirandom sequences improves both the magnitude of the error and the convergence rate of the corresponding Monte Carlo methods. Numerical tests are performed on spars...

Related Content

Added |
25 Aug 2010 |

Updated |
25 Aug 2010 |

Type |
Conference |

Year |
2000 |

Where |
NAA |

Authors |
Michael Mascagni, Aneta Karaivanova |

Comments (0)