This article is cited in 3 papers

Constrained optimization of the randomized iterative method

T. E. Bulgakova, A. V. Voitishek

Institute of Computational Mathematics and Mathematical Geophysics, Siberian Branch, Russian Academy of Sciences, pr. Akademika Lavrent’eva 6, Novosibirsk, 630090, Russia

Abstract: Selection of conditionally optimal parameters of the randomized iterative method for solving large-scale linear systems of equations is considered. The error of this method is analyzed by analogy with the functional Monte Carlo algorithms. For the simple iteration method, the “column” randomization of the matrix is thoroughly analyzed.

Key words: system of linear equations, iterative method, column randomization, Monte Carlo method.

UDC: 519.676

Received: 14.11.2008

 English version: Computational Mathematics and Mathematical Physics, 2009, 49:7, 1093–1102

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