A probabilistic linear solver based on a multilevel Monte Carlo Method
We describe a new Monte Carlo method based on a multilevel method for computing the action of the resolvent matrix over a vector. The method is based on the numerical evaluation of the Laplace transform of the matrix exponential, which is computed efficiently using a multilevel Monte Carlo method. E...
| Main Author: | |
|---|---|
| Format: | article |
| Language: | eng |
| Published: |
2020
|
| Subjects: | |
| Online Access: | http://hdl.handle.net/10071/20389 |
| Country: | Portugal |
| Oai: | oai:repositorio.iscte-iul.pt:10071/20389 |