POWER METHOD USING MONTE CARLO ITERATIONS

Ivan Dimov and Aneta Karaivanova

Abstract. We present Monte Carlo variants of Direct Power
Method, Shifted Power Method, Inverse Power Method and
Inverse Shifted Power Method for calculating the dominant
eigenvalues of matrices. An analysis of the accuracy and
the convergency of this variants is done. The advantages
and disadvantages of the corresponding Monte Carlo
algorithms are discussed. Some numerical results are
presented.