TITLE:
On Finding the Smallest Generalized Eigenpair Using Markov Chain Monte Carlo Algorithm
AUTHORS:
Farshid Mehrdoust
KEYWORDS:
Monte Carlo Method; Markov Chain; Generalized Eigenpair; Inverse Monte Carlo Algorithm
JOURNAL NAME:
Applied Mathematics,
Vol.3 No.6,
June
26,
2012
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.