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Monte Carlo method of batch iterations: Probabilistic characteristics

机译:批处理迭代的蒙特卡洛方法:概率特征

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摘要

A method was proposed for approximate solution of the system of nonlinear algebraic equations and inequalities by computer-aided generation of the sequence of residues of this system that were calculated through the collections of random vectors generated at each algorithmic step. It is based on the batch iterations using the simple Monte Carlo trials. The almost sure convergence with an exponential rate of this sequence to the global minimum of residue was proved. For the finite number of iterations, the probabilistic estimates of the deviation of the residue value from its global minimum were established. The method can be used for approximate solution of systems of equations and inequalities with algorithmically defined functions satisfying the Holder condition.
机译:提出了一种通过计算机辅助生成该系统的残差序列来近似求解非线性代数方程组和不等式系统的方法,该残基序列是通过在每个算法步骤中生成的随机向量的集合来计算的。它基于使用简单蒙特卡洛试验的批处理迭代。证明了几乎肯定的收敛性,该序列的指数速率达到残基的整体最小值。对于有限的迭代次数,建立了残差值与其全局最小值的偏差的概率估计。该方法可用于方程式和不等式系统的近似解,其算法定义的函数满足Holder条件。

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