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math.NA2019
A Monte Carlo method for computing the action of a matrix exponential on a vector
Juan A. Acebron
A Monte Carlo method for computing the action of a matrix exponential for a certain class of matrices on a vector is proposed. The method is based on generating random paths, which…
math.NA2019
A highly parallel algorithm for computing the action of a matrix exponential on a vector based on a multilevel Monte Carlo method
Juan A. Acebron, Jose R. Herrero, Jose Monteiro
A novel algorithm for computing the action of a matrix exponential over a vector is proposed. The algorithm is based on a multilevel Monte Carlo method, and the vector solution is…