Randomized Numerical Methods
Monte Carlo PDE solvers and randomized iterative methods.
Randomized Numerical Methods. Monte Carlo PDE solvers and randomized iterative methods.
Recent technical contributions
A handful of recent papers carry the methodological frontier of randomized numerical methods forward. Randomized numerical linear algebra: Foundations and algorithms (Martinsson et al., 2020) is a primary reference for this area and develops new techniques or results that downstream work builds on.
Open methodological questions for randomized numerical methods include sharpening the bridges between foundational theory and computational practice, extending classical results to broader or more structured settings, and integrating the techniques surveyed above with adjacent mathematical disciplines. The references listed in this page are the entry points that current work builds on.
Prerequisites
Sources
- paper · primary · 2020martinsson-2020, tropp-2020
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