Download or read book Monte Carlo and Quasi Monte Carlo Methods 2010 written by Leszek Plaskota and published by Springer Science & Business Media. This book was released on 2012-08-23 with total page 721 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book represents the refereed proceedings of the Ninth International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing that was held at the University of Warsaw (Poland) in August 2010. These biennial conferences are major events for Monte Carlo and the premiere event for quasi-Monte Carlo research. The proceedings include articles based on invited lectures as well as carefully selected contributed papers on all theoretical aspects and applications of Monte Carlo and quasi-Monte Carlo methods. The reader will be provided with information on latest developments in these very active areas. The book is an excellent reference for theoreticians and practitioners interested in solving high-dimensional computational problems arising, in particular, in finance and statistics.
Download or read book Monte Carlo and Quasi Monte Carlo Sampling written by Christiane Lemieux and published by Springer Science & Business Media. This book was released on 2009-04-03 with total page 373 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 contribute. This book presents essential tools for using quasi–Monte Carlo sampling in practice. The first part of the book focuses on issues related to Monte Carlo methods—uniform and non-uniform random number generation, variance reduction techniques—but the material is presented to prepare the readers for the next step, which is to replace the random sampling inherent to Monte Carlo by quasi–random sampling. The second part of the book deals with this next step. 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 and sequential Monte Carlo, with a discussion of their quasi–Monte Carlo counterpart. The prerequisites for reading this book are a basic knowledge of statistics and enough mathematical maturity to follow through the various techniques used throughout the book. This text is aimed at graduate students in statistics, management science, operations research, engineering, and applied mathematics. It should also be useful to practitioners who want to learn more about Monte Carlo and quasi–Monte Carlo methods and researchers interested in an up-to-date guide to these methods.
Download or read book Monte Carlo and Quasi Monte Carlo Methods written by Art B. Owen and published by Springer. This book was released on 2018-07-03 with total page 476 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 2016. These biennial conferences are major events for Monte Carlo and quasi-Monte Carlo researchers. The proceedings include articles based on invited lectures as well as carefully selected contributed papers on all theoretical aspects and applications of Monte Carlo and quasi-Monte Carlo methods. Offering information on the latest developments in these very active areas, this book is an excellent reference resource for theoreticians and practitioners interested in solving high-dimensional computational problems, arising in particular, in finance, statistics, computer graphics and the solution of PDEs.
Download or read book Uniform Distribution and Quasi Monte Carlo Methods written by Peter Kritzer and published by Walter de Gruyter GmbH & Co KG. This book was released on 2014-08-19 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is summarizing the results of the workshop "Uniform Distribution and Quasi-Monte Carlo Methods" of the RICAM Special Semester on "Applications of Algebra and Number Theory" in October 2013. The survey articles in this book focus on number theoretic point constructions, uniform distribution theory, and quasi-Monte Carlo methods. As deterministic versions of the Monte Carlo method, quasi-Monte Carlo rules enjoy increasing popularity, with many fruitful applications in mathematical practice, as for example in finance, computer graphics, and biology. The goal of this book is to give an overview of recent developments in uniform distribution theory, quasi-Monte Carlo methods, and their applications, presented by leading experts in these vivid fields of research.
Download or read book Monte Carlo and Quasi Monte Carlo Methods written by Aicke Hinrichs and published by Springer Nature. This book was released on with total page 657 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Monte Carlo and Quasi Monte Carlo Methods 2012 written by Josef Dick and published by Springer Science & Business Media. This book was released on 2013-12-05 with total page 680 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 2012. These biennial conferences are major events for Monte Carlo and the premiere event for quasi-Monte Carlo research. The proceedings include articles based on invited lectures as well as carefully selected contributed papers on all theoretical aspects and applications of Monte Carlo and quasi-Monte Carlo methods. The reader will be provided with information on latest developments in these very active areas. The book is an excellent reference for theoreticians and practitioners interested in solving high-dimensional computational problems arising, in particular, in finance, statistics and computer graphics.
Download or read book Monte Carlo and Quasi Monte Carlo Methods written by Alexander Keller and published by Springer Nature. This book was released on 2022-05-20 with total page 315 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume presents the revised papers of the 14th International Conference in Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing, MCQMC 2020, which took place online during August 10-14, 2020. This book is an excellent reference resource for theoreticians and practitioners interested in solving high-dimensional computational problems, arising, in particular, in statistics, machine learning, finance, and computer graphics, offering information on the latest developments in Monte Carlo and quasi-Monte Carlo methods and their randomized versions.
Download or read book Monte Carlo and Quasi Monte Carlo Methods written by Ronald Cools and published by Springer. This book was released on 2016-06-13 with total page 624 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 2014. These biennial conferences are major events for Monte Carlo and quasi-Monte Carlo researchers. The proceedings include articles based on invited lectures as well as carefully selected contributed papers on all theoretical aspects and applications of Monte Carlo and quasi-Monte Carlo methods. Offering information on the latest developments in these very active areas, this book is an excellent reference resource for theoreticians and practitioners interested in solving high-dimensional computational problems, arising, in particular, in finance, statistics and computer graphics.
Download or read book Monte Carlo and Quasi Monte Carlo Methods written by Bruno Tuffin and published by Springer Nature. This book was released on 2020-05-01 with total page 533 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 2018. These biennial conferences are major events for Monte Carlo and quasi-Monte Carlo researchers. The proceedings include articles based on invited lectures as well as carefully selected contributed papers on all theoretical aspects and applications of Monte Carlo and quasi-Monte Carlo methods. Offering information on the latest developments in these very active areas, this book is an excellent reference resource for theoreticians and practitioners interested in solving high-dimensional computational problems, arising, in particular, in finance, statistics and computer graphics.
Download or read book Applied Number Theory written by Harald Niederreiter and published by Springer. This book was released on 2015-09-01 with total page 452 pages. Available in PDF, EPUB and Kindle. Book excerpt: This textbook effectively builds a bridge from basic number theory to recent advances in applied number theory. It presents the first unified account of the four major areas of application where number theory plays a fundamental role, namely cryptography, coding theory, quasi-Monte Carlo methods, and pseudorandom number generation, allowing the authors to delineate the manifold links and interrelations between these areas. Number theory, which Carl-Friedrich Gauss famously dubbed the queen of mathematics, has always been considered a very beautiful field of mathematics, producing lovely results and elegant proofs. While only very few real-life applications were known in the past, today number theory can be found in everyday life: in supermarket bar code scanners, in our cars’ GPS systems, in online banking, etc. Starting with a brief introductory course on number theory in Chapter 1, which makes the book more accessible for undergraduates, the authors describe the four main application areas in Chapters 2-5 and offer a glimpse of advanced results that are presented without proofs and require more advanced mathematical skills. In the last chapter they review several further applications of number theory, ranging from check-digit systems to quantum computation and the organization of raster-graphics memory. Upper-level undergraduates, graduates and researchers in the field of number theory will find this book to be a valuable resource.
Download or read book Monte Carlo Methods and Models in Finance and Insurance written by Ralf Korn and published by CRC Press. This book was released on 2010-02-26 with total page 485 pages. Available in PDF, EPUB and Kindle. Book excerpt: Offering a unique balance between applications and calculations, Monte Carlo Methods and Models in Finance and Insurance incorporates the application background of finance and insurance with the theory and applications of Monte Carlo methods. It presents recent methods and algorithms, including the multilevel Monte Carlo method, the statistical Rom
Download or read book Introducing Monte Carlo Methods with R written by Christian Robert and published by Springer Science & Business Media. This book was released on 2010 with total page 297 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book covers the main tools used in statistical simulation from a programmer’s point of view, explaining the R implementation of each simulation technique and providing the output for better understanding and comparison.
Download or read book Consistency and Convergence Rate of Markov Chain Quasi Monte Carlo with Examples written by Su Chen and published by Stanford University. This book was released on 2011 with total page 124 pages. Available in PDF, EPUB and Kindle. Book excerpt: Markov Chain Monte Carlo methods have been widely used in various scientific disciplines for generation of samples from distributions that are difficult to simulate directly. The random numbers driving Markov Chain Monte Carlo algorithms are modeled as independent $\mathcal{U}[0,1)$ random variables. The class of distributions that could be simulated are largely broadened by using Markov Chain Monte Carlo. Quasi-Monte Carlo, on the other hand, aims to improve the accuracy of estimation of an integral over the multidimensional unit cube. By using more carefully balanced inputs, under some smoothness conditions the estimation error is converging at a higher rate than plain Monte Carlo. We would like to combine these two techniques, so that we can sample more accurately from a larger class of distributions. This method, called Markov Chain quasi-Monte Carlo (MCQMC), is the main topic of this work. We are going to replace the IID driving sequence used in MCMC algorithms by a deterministic sequence which is designed to be more uniform. Previously the justification for MCQMC is proved only for finite state space case. We are going to extend those results to some Markov Chains on continuous state spaces. We also explore the convergence rate of MCQMC under stronger assumptions. Lastly we present some numerical results for demonstration of MCQMC's performance. From these examples, the empirical benefits of more balanced sequences are significant.
Download or read book Monte Carlo Methods in Financial Engineering written by Paul Glasserman and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 603 pages. Available in PDF, EPUB and Kindle. Book excerpt: From the reviews: "Paul Glasserman has written an astonishingly good book that bridges financial engineering and the Monte Carlo method. The book will appeal to graduate students, researchers, and most of all, practicing financial engineers [...] So often, financial engineering texts are very theoretical. This book is not." --Glyn Holton, Contingency Analysis
Download or read book Applied Algebra and Number Theory written by Gerhard Larcher and published by Cambridge University Press. This book was released on 2014-12-11 with total page 355 pages. Available in PDF, EPUB and Kindle. Book excerpt: Harald Niederreiter's pioneering research in the field of applied algebra and number theory has led to important and substantial breakthroughs in many areas. This collection of survey articles has been authored by close colleagues and leading experts to mark the occasion of his 70th birthday. The book provides a modern overview of different research areas, covering uniform distribution and quasi-Monte Carlo methods as well as finite fields and their applications, in particular, cryptography and pseudorandom number generation. Many results are published here for the first time. The book serves as a useful starting point for graduate students new to these areas or as a refresher for researchers wanting to follow recent trends.
Download or read book Contemporary Computational Mathematics A Celebration of the 80th Birthday of Ian Sloan written by Josef Dick and published by Springer. This book was released on 2018-05-23 with total page 1330 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a tribute to Professor Ian Hugh Sloan on the occasion of his 80th birthday. It consists of nearly 60 articles written by international leaders in a diverse range of areas in contemporary computational mathematics. These papers highlight the impact and many achievements of Professor Sloan in his distinguished academic career. The book also presents state of the art knowledge in many computational fields such as quasi-Monte Carlo and Monte Carlo methods for multivariate integration, multi-level methods, finite element methods, uncertainty quantification, spherical designs and integration on the sphere, approximation and interpolation of multivariate functions, oscillatory integrals, and in general in information-based complexity and tractability, as well as in a range of other topics. The book also tells the life story of the renowned mathematician, family man, colleague and friend, who has been an inspiration to many of us. The reader may especially enjoy the story from the perspective of his family, his wife, his daughter and son, as well as grandchildren, who share their views of Ian. The clear message of the book is that Ian H. Sloan has been a role model in science and life.
Download or read book Monte Carlo Strategies in Scientific Computing written by Jun S. Liu and published by Springer Science & Business Media. This book was released on 2013-11-11 with total page 350 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a self-contained and up-to-date treatment of the Monte Carlo method and develops a common framework under which various Monte Carlo techniques can be "standardized" and compared. Given the interdisciplinary nature of the topics and a moderate prerequisite for the reader, this book should be of interest to a broad audience of quantitative researchers such as computational biologists, computer scientists, econometricians, engineers, probabilists, and statisticians. It can also be used as a textbook for a graduate-level course on Monte Carlo methods.
