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Numerical Study of Algebraic Problems Using Stochastic Arithmetic

  • René Alt
  • Jean-Luc Lamotte
  • Svetoslav Markov
Part of the Lecture Notes in Computer Science book series (LNCS, volume 4818)

Abstract

A widely used method to estimate the accuracy of the numerical solution of real life problems is the CESTAC Monte Carlo type method. In this method, a real number is considered as an N-tuple of Gaussian random numbers constructed as Gaussian approximations of the original real number. This N-tuple is called a “discrete stochastic number” and all its components are computed synchronously at the level of each operation so that, in the scope of granular computing, a discrete stochastic number is considered as a granule. In this work, which is part of a more general one, discrete stochastic numbers are modeled by Gaussian functions defined by their mean value and standard deviation and operations on them are those on independent Gaussian variables. These Gaussian functions are called in this context stochastic numbers and operations on them define continuous stochastic arithmetic (CSA). Thus operations on stochastic numbers are used as a model for operations on imprecise numbers. Here we study some new algebraic structures induced by the operations on stochastic numbers in order to provide a good algebraic understanding of the performance of the CESTAC method and we give numerical examples based on the Least squares method which clearly demonstrate the consistency between the CESTAC method and the theory of stochastic numbers.

Keywords

stochastic numbers stochastic arithmetic standard deviations least squares approximation 

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Copyright information

© Springer-Verlag Berlin Heidelberg 2008

Authors and Affiliations

  • René Alt
    • 1
  • Jean-Luc Lamotte
    • 1
  • Svetoslav Markov
    • 2
  1. 1.CNRS, UMR 7606, LIP6University Pierre et Marie CurieParis cedex 05France
  2. 2.Institute of Mathematics and InformaticsBulgarian Academy of SciencesSofiaBulgaria

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