Download or read book On non asymptotic optimal stopping criteria in Monte Carlo simulations written by Christian Bayer and published by . This book was released on 2013 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Optimal Control of PDEs under Uncertainty written by Jesús Martínez-Frutos and published by Springer. This book was released on 2018-08-30 with total page 138 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a direct and comprehensive introduction to theoretical and numerical concepts in the emerging field of optimal control of partial differential equations (PDEs) under uncertainty. The main objective of the book is to offer graduate students and researchers a smooth transition from optimal control of deterministic PDEs to optimal control of random PDEs. Coverage includes uncertainty modelling in control problems, variational formulation of PDEs with random inputs, robust and risk-averse formulations of optimal control problems, existence theory and numerical resolution methods. The exposition focusses on the entire path, starting from uncertainty modelling and ending in the practical implementation of numerical schemes for the numerical approximation of the considered problems. To this end, a selected number of illustrative examples are analysed in detail throughout the book. Computer codes, written in MatLab, are provided for all these examples. This book is adressed to graduate students and researches in Engineering, Physics and Mathematics who are interested in optimal control and optimal design for random partial differential equations.
Download or read book American Type Options written by Dmitrii S. Silvestrov and published by Walter de Gruyter GmbH & Co KG. This book was released on 2015-03-03 with total page 672 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book gives a systematical presentation of stochastic approximation methods for discrete time Markov price processes. Advanced methods combining backward recurrence algorithms for computing of option rewards and general results on convergence of stochastic space skeleton and tree approximations for option rewards are applied to a variety of models of multivariate modulated Markov price processes. The principal novelty of presented results is based on consideration of multivariate modulated Markov price processes and general pay-off functions, which can depend not only on price but also an additional stochastic modulating index component, and use of minimal conditions of smoothness for transition probabilities and pay-off functions, compactness conditions for log-price processes and rate of growth conditions for pay-off functions. The volume presents results on structural studies of optimal stopping domains, Monte Carlo based approximation reward algorithms, and convergence of American-type options for autoregressive and continuous time models, as well as results of the corresponding experimental studies.
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 Handbook of Simulation Optimization written by Michael C Fu and published by Springer. This book was released on 2014-11-13 with total page 400 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Handbook of Simulation Optimization presents an overview of the state of the art of simulation optimization, providing a survey of the most well-established approaches for optimizing stochastic simulation models and a sampling of recent research advances in theory and methodology. Leading contributors cover such topics as discrete optimization via simulation, ranking and selection, efficient simulation budget allocation, random search methods, response surface methodology, stochastic gradient estimation, stochastic approximation, sample average approximation, stochastic constraints, variance reduction techniques, model-based stochastic search methods and Markov decision processes. This single volume should serve as a reference for those already in the field and as a means for those new to the field for understanding and applying the main approaches. The intended audience includes researchers, practitioners and graduate students in the business/engineering fields of operations research, management science, operations management and stochastic control, as well as in economics/finance and computer science.
Download or read book Handbook of Statistical Methods for Precision Medicine written by Eric Laber and published by CRC Press. This book was released on 2024-10-23 with total page 482 pages. Available in PDF, EPUB and Kindle. Book excerpt: The statistical study and development of analytic methodology for individualization of treatments is no longer in its infancy. Many methods of study design, estimation, and inference exist, and the tools available to the analyst are ever growing. This handbook introduces the foundations of modern statistical approaches to precision medicine, bridging key ideas to active lines of current research in precision medicine. The contributions in this handbook vary in their level of assumed statistical knowledge; all contributions are accessible to a wide readership of statisticians and computer scientists including graduate students and new researchers in the area. Many contributions, particularly those that are more comprehensive reviews, are suitable for epidemiologists and clinical researchers with some statistical training. The handbook is split into three sections: Study Design for Precision Medicine, Estimation of Optimal Treatment Strategies, and Precision Medicine in High Dimensions. The first focuses on designed experiments, in many instances, building and extending on the notion of sequential multiple assignment randomized trials. Dose finding and simulation-based designs using agent-based modelling are also featured. The second section contains both introductory contributions and more advanced methods, suitable for estimating optimal adaptive treatment strategies from a variety of data sources including non-experimental (observational) studies. The final section turns to estimation in the many-covariate setting, providing approaches suitable to the challenges posed by electronic health records, wearable devices, or any other settings where the number of possible variables (whether confounders, tailoring variables, or other) is high. Together, these three sections bring together some of the foremost leaders in the field of precision medicine, offering new insights and ideas as this field moves towards its third decade.
Download or read book Sequential Change Detection and Hypothesis Testing written by Alexander Tartakovsky and published by CRC Press. This book was released on 2019-12-11 with total page 321 pages. Available in PDF, EPUB and Kindle. Book excerpt: Statistical methods for sequential hypothesis testing and changepoint detection have applications across many fields, including quality control, biomedical engineering, communication networks, econometrics, image processing, security, etc. This book presents an overview of methodology in these related areas, providing a synthesis of research from the last few decades. The methods are illustrated through real data examples, and software is referenced where possible. The emphasis is on providing all the theoretical details in a unified framework, with pointers to new research directions.
Download or read book Monte Carlo written by George Fishman and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 721 pages. Available in PDF, EPUB and Kindle. Book excerpt: Apart from a thorough exploration of all the important concepts, this volume includes over 75 algorithms, ready for putting into practice. The book also contains numerous hands-on implementations of selected algorithms to demonstrate applications in realistic settings. Readers are assumed to have a sound understanding of calculus, introductory matrix analysis, and intermediate statistics, but otherwise the book is self-contained. Suitable for graduates and undergraduates in mathematics and engineering, in particular operations research, statistics, and computer science.
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 Mechanics Reviews written by and published by . This book was released on 1977 with total page 918 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Scientific and Technical Aerospace Reports written by and published by . This book was released on 1995 with total page 692 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Introduction to Cutting and Packing Optimization written by Guntram Scheithauer and published by Springer. This book was released on 2017-10-20 with total page 429 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a comprehensive overview of the most important and frequently considered optimization problems concerning cutting and packing. Based on appropriate modeling approaches for the problems considered, it offers an introduction to the related solution methods. It also addresses aspects like performance results for heuristic algorithms and bounds of the optimal value, as well as the packability of a given set of objects within a predefined container. The problems discussed arise in a wide variety of different fields of application and research, and as such, the fundamental knowledge presented in this book make it a valuable resource for students, practitioners, and researchers who are interested in dealing with such tasks.
Download or read book Stochastic Processes Multiscale Modeling and Numerical Methods for Computational Cellular Biology written by David Holcman and published by Springer. This book was released on 2017-10-04 with total page 377 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book focuses on the modeling and mathematical analysis of stochastic dynamical systems along with their simulations. The collected chapters will review fundamental and current topics and approaches to dynamical systems in cellular biology. This text aims to develop improved mathematical and computational methods with which to study biological processes. At the scale of a single cell, stochasticity becomes important due to low copy numbers of biological molecules, such as mRNA and proteins that take part in biochemical reactions driving cellular processes. When trying to describe such biological processes, the traditional deterministic models are often inadequate, precisely because of these low copy numbers. This book presents stochastic models, which are necessary to account for small particle numbers and extrinsic noise sources. The complexity of these models depend upon whether the biochemical reactions are diffusion-limited or reaction-limited. In the former case, one needs to adopt the framework of stochastic reaction-diffusion models, while in the latter, one can describe the processes by adopting the framework of Markov jump processes and stochastic differential equations. Stochastic Processes, Multiscale Modeling, and Numerical Methods for Computational Cellular Biology will appeal to graduate students and researchers in the fields of applied mathematics, biophysics, and cellular biology.
Download or read book Stochastic Theory and Control written by Bozenna Pasik-Duncan and published by Springer. This book was released on 2003-07-01 with total page 563 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume contains almost all of the papers that were presented at the Workshop on Stochastic Theory and Control that was held at the Univ- sity of Kansas, 18–20 October 2001. This three-day event gathered a group of leading scholars in the ?eld of stochastic theory and control to discuss leading-edge topics of stochastic control, which include risk sensitive control, adaptive control, mathematics of ?nance, estimation, identi?cation, optimal control, nonlinear ?ltering, stochastic di?erential equations, stochastic p- tial di?erential equations, and stochastic theory and its applications. The workshop provided an opportunity for many stochastic control researchers to network and discuss cutting-edge technologies and applications, teaching and future directions of stochastic control. Furthermore, the workshop focused on promoting control theory, in particular stochastic control, and it promoted collaborative initiatives in stochastic theory and control and stochastic c- trol education. The lecture on “Adaptation of Real-Time Seizure Detection Algorithm” was videotaped by the PBS. Participants of the workshop have been involved in contributing to the documentary being ?lmed by PBS which highlights the extraordinary work on “Math, Medicine and the Mind: Discovering Tre- ments for Epilepsy” that examines the e?orts of the multidisciplinary team on which several of the participants of the workshop have been working for many years to solve one of the world’s most dramatic neurological conditions. Invited high school teachers of Math and Science were among the part- ipants of this professional meeting.
Download or read book Uncertainty Quantification written by Ralph C. Smith and published by SIAM. This book was released on 2013-12-02 with total page 400 pages. Available in PDF, EPUB and Kindle. Book excerpt: The field of uncertainty quantification is evolving rapidly because of increasing emphasis on models that require quantified uncertainties for large-scale applications, novel algorithm development, and new computational architectures that facilitate implementation of these algorithms. Uncertainty Quantification: Theory, Implementation, and Applications provides readers with the basic concepts, theory, and algorithms necessary to quantify input and response uncertainties for simulation models arising in a broad range of disciplines. The book begins with a detailed discussion of applications where uncertainty quantification is critical for both scientific understanding and policy. It then covers concepts from probability and statistics, parameter selection techniques, frequentist and Bayesian model calibration, propagation of uncertainties, quantification of model discrepancy, surrogate model construction, and local and global sensitivity analysis. The author maintains a complementary web page where readers can find data used in the exercises and other supplementary material.
Download or read book NBS Special Publication written by and published by . This book was released on 1970 with total page 574 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Cities and Their Vital Systems written by Advisory Committee on Technology and Society and published by National Academies Press. This book was released on 1989 with total page 1298 pages. Available in PDF, EPUB and Kindle. Book excerpt: Cities and Their Vital Systems asks basic questions about the longevity, utility, and nature of urban infrastructures; analyzes how they grow, interact, and change; and asks how, when, and at what cost they should be replaced. Among the topics discussed are problems arising from increasing air travel and airport congestion; the adequacy of water supplies and waste treatment; the impact of new technologies on construction; urban real estate values; and the field of "telematics," the combination of computers and telecommunications that makes money machines and national newspapers possible.
