Abstract
In this paper, we suggest joint application of computational probabilistic analysis and the Monte Carlo method for numerical stochastic modeling problems. We use all the capabilities of computational probabilistic analysis while maintaining all the advantages of the Monte Carlo method. Our approach allows us to efficiently implement a computational hybrid scheme. In this way, we reduce the computation time and present the results in the form of distributions. The crucial new points of our method are arithmetic operations on probability density functions and procedures for constructing on the probabilistic extensions. Relying on specific numerical examples of solving systems of linear algebraic equations with random coefficients, we present the advantages of our approach.
Acknowledgements
The work was presented at the conference “Marchuk Scientific Readings – 2022”.
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