Matrix inversion by a Monte Carlo method
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- by George E. Forsythe and Richard A. Leibler PDF
- Math. Comp. 4 (1950), 127-129 Request permission
References
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A. Kolmogoroff, Grundbegriffe der Wahrscheinlichkeitsrechnung, New York, 1946, p. 59. The writers are indebted to T. E. Harris for this reference.
The fact that ${\sigma _{ij}} = \infty$ does not interfere with the convergence of the average value of $N$ games to ${({B^{ - 1}})_{ij}}$. However, conventional error estimates in terms of variances no longer apply and, in at least certain matrix inversions where ${\sigma _{ij}} = \infty$, the accumulated payment after $N$ games cannot be normed so as to be asymptotically normally distributed as $N \to \infty$. See W. Feller, “Über den zentralen Grenzwertsatz der Wahrscheinlichkeitsrechnung,” Mathematische Zeitschrift, v. 40, 1935, p. 521-559 and v. 42, 1937, p. 301-312, and “Über das Gesetz der grossen Zahlen,” Szeged, Acta Univ., Acta Scient. Math., v. 8, 1937, p. 191-201.
Additional Information
- © Copyright 1950 American Mathematical Society
- Journal: Math. Comp. 4 (1950), 127-129
- MSC: Primary 65.0X
- DOI: https://doi.org/10.1090/S0025-5718-1950-0038138-X
- MathSciNet review: 0038138