SIMPLE ITERATION METHOD WITH STOCHASTIC RIGHT MEMBER
D. G. Modestov
VANT. Ser.: Mat. Mod. Fiz. Proc 2013. Вып.1. С. 59-68.
The root of non-linear equation system should be determined for a number of practical problems; the statistical simulation methods are used for the right members of these equations. The simplest algorithm based on the substitution of a function value for a random value due to a stationary Markovian chain simulation in the simple iteration method, is of little use for applications for two main reasons: shifting of mathematical expectation and no reliable criterion of iteration extinction. Thus, the solution scheme is suggested in terms of a nonstationary Markovian chain which has no disadvantages. The application results of the scheme to solution of two simple methodic problems are given. Circuit parameter effect is estimated in terms of these results.Keywords: stochastic simulation methods, Monte-Carlo method, numerical methods, simple iteration method, successive approximations method, Markovian chain.
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English
