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On Finding the Smallest Generalized Eigenpair Using Markov Chain Monte Carlo Algorithm
Department of Applied Mathematics, Faculty of Mathematical Sciences, University of Guilan, Rasht, Iran
- 1 Department of Applied Mathematics, Faculty of Mathematical Sciences, University of Guilan, Rasht, Iran
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Abstract
This paper proposes a new technique based on inverse Markov chain Monte Carlo algorithm for finding the smallest generalized eigenpair of the large scale matrices. Some numerical examples show that the proposed method is efficient.
KeywordsMonte Carlo MethodMarkov ChainGeneralized EigenpairInverse Monte Carlo Algorithm
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