1. A new unbiased stochastic algorithm for solving linear Fredholm equations of the second kind.
- Author
-
Dimov, I. T. and Maire, S.
- Subjects
- *
LINEAR equations , *FREDHOLM equations , *MONTE Carlo method , *INTEGRAL equations , *NUMERICAL integration , *ALGORITHMS - Abstract
In this paper, we propose and analyse a new unbiased stochastic approach for solving a class of integral equations. We study and compare the proposed unbiased approach against the known biased Monte Carlo method based on evaluation of truncated Liouville-Neumann series. We also compare the proposed algorithm against the deterministic Nystrom method. Extensions of the unbiased method for the weak and global solutions are described. Extensive numerical experiments have been performed to support the theoretical studies regarding the convergence of the unbiased algorithms. The results are compared to the best known biased Monte Carlo algorithms for numerical integration done in our previous studies. Conclusions about the applicability and efficiency of the proposed algorithms have been drawn. [ABSTRACT FROM AUTHOR]
- Published
- 2019
- Full Text
- View/download PDF