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http://hdl.handle.net/10071/19104
acessibilidade
Title: A Monte Carlo method for computing the action of a matrix exponential on a vector
Authors: Acebron, J. A.
Keywords: Monte Carlo methods
Communicability
Matrix functions
Network analysis
Issue Date: 2019
Publisher: Elsevier
Abstract: A Monte Carlo method for computing the action of a matrix exponential for a certain class of matrices on a vector is proposed. The method is based on generating random paths, which evolve through the indices of the matrix, governed by a given continuous-time Markov chain. The vector solution is computed probabilistically by averaging over a suitable multiplicative functional. This representation extends the existing linear algebra Monte Carlo-based methods, and was used in practice to develop an efficient algorithm capable of computing both, a single entry or the full vector solution. Finally, several relevant benchmarks were executed to assess the performance of the algorithm. A comparison with the results obtained with a Krylov-based method shows the remarkable performance of the algorithm for solving large-scale problems.
Peer reviewed: yes
URI: http://hdl.handle.net/10071/19104
DOI: 10.1016/j.amc.2019.06.059
ISSN: 0096-3003
Ciência-IUL: https://ciencia.iscte-iul.pt/id/ci-pub-60606
Accession number: WOS:000479157100028
Appears in Collections:CTI-RI - Artigos em revistas científicas internacionais com arbitragem científica

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