A Study of Biased and Unbiased Stochastic Algorithms for Solving Integral Equations

Abstract : In this paper we propose and analyse a new unbiased stochastic method for solving a class of integral equations, namely the second kind Fredholm integral equations. We study and compare three possible approaches to compute linear functionals of the integral under consideration: i) biased Monte Carlo method based on evaluation of truncated Liouville-Neumann series, ii) transformation of this problem into the problem of computing a finite number of integrals, and iii) unbiased stochastic approach. Five Monte Carlo algorithms for numerical integration have been applied for approach (ii). Error balancing of both stochastic and systematic errors has been discussed and applied during the numerical implementation of the biased algorithms. Extensive numerical experiments have been performed to support the theoretical studies regarding the convergence rate of Monte Carlo methods for numerical integration done in our previous studies. We compare the results obtained by some of the best biased stochastic approaches with the results obtained by the proposed unbiased approach. Conclusions about the applicability and efficiency of the algorithms have been drawn.
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Pré-publication, Document de travail
2014
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Ivan Tomov Dimov, Sylvain Maire, Rayna Georgieva. A Study of Biased and Unbiased Stochastic Algorithms for Solving Integral Equations. 2014. 〈hal-01089515〉

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