Monte Carlo and Quasi-Monte Carlo Methods 2002 Proceedings of a Conference held at the National University of Singapore, Republic of Singapore, November 25-28, 2002 by Harald Niederreiter

Cover of: Monte Carlo and Quasi-Monte Carlo Methods 2002 | Harald Niederreiter

Published by Springer Berlin Heidelberg, Imprint, Springer in Berlin, Heidelberg .

Written in English

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Subjects:

  • Statistics,
  • Finance,
  • Mathematics,
  • Distribution (Probability theory),
  • Economics,
  • Computer science

Edition Notes

Book details

Statementedited by Harald Niederreiter
Classifications
LC ClassificationsQA71-90
The Physical Object
Format[electronic resource] :
Pagination1 online resource (XIX, 459 pages)
Number of Pages459
ID Numbers
Open LibraryOL27075902M
ISBN 103642187439
ISBN 109783642187438
OCLC/WorldCa840291554

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This volume contains the refereed proceedings of the Fifth International Con­ ference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Com­ puting (MCQMC ) which was held at the National University of Sin­ gapore from November Author: Harald Niederreiter.

Monte Carlo and Quasi-Monte Carlo Methods Proceedings of a Conference held at the National University of Singapore, Republic of Singapore, November 25–28, Editors: Niederreiter, Harald (Ed.) Free Preview.

This book presents the refereed proceedings of the Eleventh International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing that was held at the University of Leuven (Belgium) in April These biennial conferences are major events for Monte Carlo and quasi-Monte Carlo : Hardcover.

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only do ebook promotions online and we does not distribute any free download of ebook on this site. Get this from a library. Monte Carlo and quasi-Monte Carlo methods proceedings of a conference held at the National University of Singapore, Republic of Singapore, November[Harald Niederreiter;].

The thesis is divided up into three sections, with the first two covering a hybrid Monte Carlo method, and third to a quasi-Monte Carlo integration rule. Readers interested in performance issues in Monte Carlo and quasi-Monte Carlo will be interested in this work, although much more could be Cited by: 6.

Get this from a library. Monte Carlo and Quasi-Monte Carlo Methods Proceedings of a Conference held at the National University of Singapore, Republic of Singapore, November[Harald Niederreiter] -- This book represents the refereed proceedings of the Fifth International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing which was.

Scientists and engineers are increasingly making use of simulation methods to solve problems which are insoluble by analytical techniques. Monte Carlo methods which make use of probabilistic simulations are frequently used in areas such as numerical integration, complex scheduling, queueing networks, and large-dimensional simulations.

This collection of papers arises from a. ?This book presents the refereed proceedings of the 13th International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing that was held at the University of Rennes, France, and organized by Inria, in July These biennial conferences are major events for Monte Carlo and quasi-Monte Carlo researchers.

This book presents the refereed proceedings of the Twelfth International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing that was held at Stanford University (California) in August These biennial conferences are major events for Monte Carlo and quasi-Monte Carlo researchers.

“This book is well structured as a complete guide to Monte Carlo and quasi Monte Carlo sampling methods. The author has done a nice job presenting the key concepts and explaining the theories of these valuable methods with examples and applications.

Along with the problem sets provided at the end of each chapter, Cited by: from book Monte Carlo and quasi-Monte Carlo methods Proceedings of a conference, held at Hong Kong Baptist Univ., Hong Kong SAR, China, November 27 – December 1, Monte Carlo and Quasi-Monte Carlo Methods Proceedings of a Conference held at the National University of Singapore, Republic of Singapore, November 25–28,   Zaremba, S.

(), ‘ The mathematical basis of Monte Carlo and quasi-Monte Carlo methods ’, SIAM Rev. 10, – Recommend this journal Email your librarian or administrator to recommend adding this journal to your organisation's collection.

This book represents the refereed proceedings of the Fourth International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing which was held at Hong Kong Baptist University in Author: Kai-Tai Fang. Monte Carlo methods which make use of probabilistic simulations are frequently used in areas such as numerical integration, complex scheduling, queueing networks, and large-dimensional simulations.

This collection of papers arises from a conference held at the University of Nevada, Las Vegas, in Quasi-Monte Carlo methods are deterministic versions of Monte Carlo methods, which outperform Monte Carlo methods for many types of integrals.

First, a general background on quasi-Monte Carlo Author: Harald Niederreiter. In numerical analysis, the quasi-Monte Carlo method is a method for numerical integration and solving some other problems using low-discrepancy sequences (also called quasi-random sequences or sub-random sequences).

This is in contrast to the regular Monte Carlo method or Monte Carlo integration. This book presents the refereed proceedings of the Eleventh International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing that was held at the University of Leuven (Belgium) in April These biennial conferences are major events for Monte Carlo and quasi-Monte Carlo researchers.

Quasi–Monte Carlo methods have become an increasingly popular alternative to Monte Carlo methods over the last two decades. Their successful implementation on practical problems, especially in finance, has motivated the development of several new research areas within this field to which practitioners and researchers from various disciplines currently : Springer-Verlag New York.

The NSF-CBMS Regional Research Conference on Random Number Generation and Quasi-Monte Carlo Methods was held at the University of Alaska at Fairbanks from August 13–17, The present lecture notes are an expanded written record of a series of ten talks presented by the author as the principal speaker at that conference.

Several aspects of quasi-Monte Carlo methods are covered, including constructions, randomizations, the use of ANOVA decompositions, and the concept of effective dimension. The third part of the book is devoted to applications in finance and more advanced statistical tools like Markov chain Monte Carlo.

tion 4 and quasi-Monte Carlo method isn Section 5. Effectiv oe usf quasie-Monte Carlo requires some modification of standard Monte Carlo techniques, as describe idn Section 6. Monte Carlo method for rarefies d gas dynamic s are describe ind Sectio 7n, wit h emphasi ons the loss of effectivenes fos r Monte Carlo in the fluid dynamic limit.

PDF | In this paper we discuss the numerical algorithm of Milev-Tagliani [25] used for pricing of discrete double barrier options. The problem can be | Find, read and cite all the research you.

This is one good reason for a serious study of quasi-Monte Carlo methods, and another reason is provided by the fact that a quasi-Monte Carlo method with judiciously chosen deterministic points. The retained approach is based on an Emission-based Reciprocity Monte-Carlo method (ERM) [66] and a randomized Quasi Monte Carlo (QMC) [67] relying on low-discrepancy Sobol sequences [68] that Author: Christiane Lemieux.

This book represents the refereed proceedings of the Tenth International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing that was held at the University of New South Wales (Australia) in February These biennial conferences are major events for Monte Carlo and the premiere event for quasi-Monte Carlo research.

Monte Carlo and Quasi-Monte Carlo Methods Editors: L' Ecuyer, Pierre, Owen, Art B. (Eds.) Free Preview. In the second part of the chapter we discuss quasi-Monte Carlo methods. The focus of this part is on scrambled nets, and we show how they can produce faster convergence rates than standard Monte Carlo methods.

The chapter concludes by illustrating how to apply quasi-Monte Carlo methods under the benchmark approach introduced in Chap. by: 1. The quasi-Monte Carlo (QMC) method is defined by = ∑ = (),where the belong to an LDS.

The standard terminology quasi-Monte Carlo is somewhat unfortunate since MC is a randomized method whereas QMC is purely deterministic.

Quasi-Monte Carlo Methods for Particle Transport Problems JEROME SPANIER Contributed Papers Non-Adaptive Coverings for Optimization of Gaussian Random Fields JAMES M. CALVIN The Method of Fundamental Solutions and the Quasi-Monte Carlo Method for. QMC (Quasi Monte Carlo) is a very interesting method and a lesson will be devoted to this topic in the advanced lesson at some point in time.

Once we have completed the lesson on Light Transport Algorithms and Sampling, it will become easier to experiment with QMC and show with more concrete example why it is superior to basic MC. Quasi-Monte Carlo methods have become an increasingly popular alternative to Monte Carlo methods over the last two decades.

Their successful implementation on practical problems, especially in finance, has motivated the development of several new research areas within this field to which practitioners and researchers from various disciplines currently : Christiane Lemieux.

Quasi Monte Carlo (QMC) methods are numerical techniques for estimating expectation values, or equivalently, for integration. Contrasted to the random sampling of the classical Monte Carlo methods (MC), we investigate the improved convergence rate that often is attainable for the QMC methods by the use of certain deterministic sequences.

Monte Carlo and Quasi-Monte Carlo Methods - Ebook written by Leszek Plaskota, Henryk Woźniakowski. Read this book using Google Play Books app on your PC, android, iOS devices.

Download for offline reading, highlight, bookmark or take notes while you read Monte Carlo and Quasi-Monte Carlo Methods Browse Books Home Browse by Title Books Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing: Proceedings of a Conference at the University of Nevada, Las Vegas, Nevada, USA, JuneMonte Carlo methods, or Monte Carlo experiments, are a broad class of computational algorithms that rely on repeated random sampling to obtain numerical results.

The underlying concept is to use randomness to solve problems that might be deterministic in principle. They are often used in physical and mathematical problems and are most useful when it is difficult or impossible to use other. We demonstrate by examples that quasi-Monte Carlo can be a viable alternative to the Monte Carlo methods in population genetics.

Analysis of a simple two-population problem in this paper shows that parallel quasi-Monte Carlo methods achieve the same or better parameter estimates as standard Monte Carlo and have the potential to converge faster Cited by: 1.

Multilevel Monte Carlo (MLMC) methods in numerical analysis are algorithms for computing expectations that arise in stochastic as Monte Carlo methods, they rely on repeated random sampling, but these samples are taken on different levels of methods can greatly reduce the computational cost of standard Monte Carlo methods by taking most samples with.

Get this from a library. Monte Carlo and quasi-Monte Carlo methods proceedings of a conference held at Hong Kong Baptist University, Hong Kong SAR, China, November December 1, [Kaitai Fang; Fred J Hickernell; Harald Niederreiter;]. An alternative to Monte Carlo simulation is the quasi-Monte Carlo method (QMC), which uses low-discrepancy sequences instead of pseudorandom numbers.

The rate of convergence of the quasi-Monte Carlo method is close to O (1 ∕ n), which is faster than O (1 ∕ n).Author: Halis Sak, İsmail Başoğlu. Quasi-Monte Carlo | Can We Get the Answer Faster? Quasi-Monte Carlo | Better Ways to Sample than IID You want EpYq» r0;1sd fpxqdx, where Y fpXq, X Ur0;1sd.

How do youbest choosethe z ito generate Y i fpz iqand ^? E.g., n 64, d 4: random bunches & gaps of points x 1 x 2 x 1 x 2 Latin hypercube excellent marginals orthogonal array good.Quasi-Monte Carlo Samplingby Art B.

Owen In Monte Carlo (MC) sampling the sample averages of random quantities are used to estimate the corresponding expectations. The justification is through the law of large numbers. In quasi-Monte Carlo (QMC) sampling we are able to get a law of large numbers with deterministic inputs instead of random Size: KB.

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