Solving linear systems by methods based on a probabilistic interpretation

J.A.E.E. van Nunen, J. Wessels

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Abstract

In this paper it is demonstrated how the probabilistic concept of a stopping time in a random process may be used to generate an iterative method for solving a system of linear equations. Actually all known iterative approximation methods for solving linear equations are generated by various choices of a stopping time e.g. the point and block Jacobi methods, the point and block Gauss-Seidel Methods and overrelaxation methods are covered. The probabilistic approach offers -in a natural way- the possibility of adapting the solution technique to the special structure of the problem. Moreover, posterior bounds for the solution are constructed, which lead to faster convergence of the approximations than with usual prior bounds.
Original languageEnglish
Place of PublicationEindhoven
PublisherTechnische Hogeschool Eindhoven
Number of pages27
Publication statusPublished - 1979

Publication series

NameMemorandum COSOR
Volume7904
ISSN (Print)0926-4493

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