Download or read book Strategies for Quasi Monte Carlo written by Bennett L. Fox and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 393 pages. Available in PDF, EPUB and Kindle. Book excerpt: Strategies for Quasi-Monte Carlo builds a framework to design and analyze strategies for randomized quasi-Monte Carlo (RQMC). One key to efficient simulation using RQMC is to structure problems to reveal a small set of important variables, their number being the effective dimension, while the other variables collectively are relatively insignificant. Another is smoothing. The book provides many illustrations of both keys, in particular for problems involving Poisson processes or Gaussian processes. RQMC beats grids by a huge margin. With low effective dimension, RQMC is an order-of-magnitude more efficient than standard Monte Carlo. With, in addition, certain smoothness - perhaps induced - RQMC is an order-of-magnitude more efficient than deterministic QMC. Unlike the latter, RQMC permits error estimation via the central limit theorem. For random-dimensional problems, such as occur with discrete-event simulation, RQMC gets judiciously combined with standard Monte Carlo to keep memory requirements bounded. This monograph has been designed to appeal to a diverse audience, including those with applications in queueing, operations research, computational finance, mathematical programming, partial differential equations (both deterministic and stochastic), and particle transport, as well as to probabilists and statisticians wanting to know how to apply effectively a powerful tool, and to those interested in numerical integration or optimization in their own right. It recognizes that the heart of practical application is algorithms, so pseudocodes appear throughout the book. While not primarily a textbook, it is suitable as a supplementary text for certain graduate courses. As a reference, it belongs on the shelf of everyone with a serious interest in improving simulation efficiency. Moreover, it will be a valuable reference to all those individuals interested in improving simulation efficiency with more than incremental increases.

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 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 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 2008 written by Pierre L' Ecuyer and published by Springer Science & Business Media. This book was released on 2010-01-14 with total page 669 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book represents the refereed proceedings of the Eighth International Conference on Monte Carlo (MC)and Quasi-Monte Carlo (QMC) Methods in Scientific Computing, held in Montreal (Canada) in July 2008. It covers the latest theoretical developments as well as important applications of these methods in different areas. It contains two tutorials, eight invited articles, and 32 carefully selected articles based on the 135 contributed presentations made at the conference. This conference is a major event in Monte Carlo methods and is the premiere event for quasi-Monte Carlo and its combination with Monte Carlo. This series of proceedings volumes is the primary outlet for quasi-Monte Carlo research.

Download or read book Monte Carlo and Quasi Monte Carlo Methods 2000 written by Kai-Tai Fang and published by Springer Science & Business Media. This book was released on 2011-06-28 with total page 570 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 2000. An important feature are invited surveys of the state-of-the-art in key areas such as multidimensional numerical integration, low-discrepancy point sets, random number generation, and applications of Monte Carlo and quasi-Monte Carlo methods. These proceedings include also carefully selected contributed papers on all aspects of Monte Carlo and quasi-Monte Carlo methods. The reader will be informed about current research in this very active field.

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 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 2002 written by Harald Niederreiter and published by Springer Science & Business Media. This book was released on 2011-06-28 with total page 462 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book represents the refereed proceedings of the Fifth International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing which was held at the National University of Singapore in the year 2002. An important feature are invited surveys of the state of the art in key areas such as multidimensional numerical integration, low-discrepancy point sets, computational complexity, finance, and other applications of Monte Carlo and quasi-Monte Carlo methods. These proceedings also include carefully selected contributed papers on all aspects of Monte Carlo and quasi-Monte Carlo methods. The reader will be informed about current research in this very active area.

Download or read book Proceedings of the 2nd International Conference on Business and Policy Studies written by Canh Thien Dang and published by Springer Nature. This book was released on 2023-10-07 with total page 1874 pages. Available in PDF, EPUB and Kindle. Book excerpt: This proceedings volume contains papers accepted by the 2nd International Conference on Business and Policy Studies (CONF-BPS 2023), which are carefully selected and reviewed by professional reviewers from corresponding research fields and the editorial team of the conference. This volume presents the latest research achievements, inspirations, and applications in applied economy, finance, enterprise management, public administration, and policy studies. CONF-BPS 2023 was a hybrid conference that includes several workshops (offline and online) around the world in Cardiff (Jan, 2023), London(Feb, 2023) and Sydney (Feb, 2023). Prof. Canh Thien Dang from King's College London, Prof. Arman Eshraghi from Cardiff Business School, and Prof. Kristle Romero Cortés from UNSW Business School have chaired those offline workshop.

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 Recent Advances in Financial Engineering written by Masaaki Kijima and published by World Scientific. This book was released on 2009 with total page 243 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume contains the proceedings of the 2008 Daiwa International Workshop on Financial Engineering held in Tokyo. The annual workshop is sponsored by the Daiwa Securities Group, and serves as a bridge between leading academics and practitioners in the field. This year, the papers presented at the workshop have been refereed and published in a single volume to commemorate the 60th birthday of Professor Yuri Kabanov, and to thank him for his contributions to the progress of mathematical finance in general, and the Daiwa International Workshop in particular. This book caters to academics and practitioners as well as graduate and postgraduate students of financial engineering. Quantitative researchers on financial markets will also find it a useful resource.

Download or read book Sparse Grid Quadrature in High Dimensions with Applications in Finance and Insurance written by Markus Holtz and published by Springer Science & Business Media. This book was released on 2010-10-22 with total page 194 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book deals with the numerical analysis and efficient numerical treatment of high-dimensional integrals using sparse grids and other dimension-wise integration techniques with applications to finance and insurance. The book focuses on providing insights into the interplay between coordinate transformations, effective dimensions and the convergence behaviour of sparse grid methods. The techniques, derivations and algorithms are illustrated by many examples, figures and code segments. Numerical experiments with applications from finance and insurance show that the approaches presented in this book can be faster and more accurate than (quasi-) Monte Carlo methods, even for integrands with hundreds of dimensions.

Download or read book Quantitative Finance written by Erik Schlogl and published by CRC Press. This book was released on 2018-09-03 with total page 356 pages. Available in PDF, EPUB and Kindle. Book excerpt: Quantitative Finance: An Object-Oriented Approach in C++ provides readers with a foundation in the key methods and models of quantitative finance. Keeping the material as self-contained as possible, the author introduces computational finance with a focus on practical implementation in C++. Through an approach based on C++ classes and templates, the text highlights the basic principles common to various methods and models while the algorithmic implementation guides readers to a more thorough, hands-on understanding. By moving beyond a purely theoretical treatment to the actual implementation of the models using C++, readers greatly enhance their career opportunities in the field. The book also helps readers implement models in a trading or research environment. It presents recipes and extensible code building blocks for some of the most widespread methods in risk management and option pricing. Web Resource The author’s website provides fully functional C++ code, including additional C++ source files and examples. Although the code is used to illustrate concepts (not as a finished software product), it nevertheless compiles, runs, and deals with full, rather than toy, problems. The website also includes a suite of practical exercises for each chapter covering a range of difficulty levels and problem complexity.

Download or read book Encyclopedia of Operations Research and Management Science written by Saul I. Gass and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 774 pages. Available in PDF, EPUB and Kindle. Book excerpt: Operations Research: 1934-1941," 35, 1, 143-152; "British The goal of the Encyclopedia of Operations Research and Operational Research in World War II," 35, 3, 453-470; Management Science is to provide to decision makers and "U. S. Operations Research in World War II," 35, 6, 910-925; problem solvers in business, industry, government and and the 1984 article by Harold Lardner that appeared in academia a comprehensive overview of the wide range of Operations Research: "The Origin of Operational Research," ideas, methodologies, and synergistic forces that combine to 32, 2, 465-475. form the preeminent decision-aiding fields of operations re search and management science (OR/MS). To this end, we The Encyclopedia contains no entries that define the fields enlisted a distinguished international group of academics of operations research and management science. OR and MS and practitioners to contribute articles on subjects for are often equated to one another. If one defines them by the which they are renowned. methodologies they employ, the equation would probably The editors, working with the Encyclopedia's Editorial stand inspection. If one defines them by their historical Advisory Board, surveyed and divided OR/MS into specific developments and the classes of problems they encompass, topics that collectively encompass the foundations, applica the equation becomes fuzzy. The formalism OR grew out of tions, and emerging elements of this ever-changing field. We the operational problems of the British and U. s. military also wanted to establish the close associations that OR/MS efforts in World War II.

Download or read book Multivariate Algorithms and Information Based Complexity written by Fred J. Hickernell and published by Walter de Gruyter GmbH & Co KG. This book was released on 2020-06-08 with total page 158 pages. Available in PDF, EPUB and Kindle. Book excerpt: The contributions by leading experts in this book focus on a variety of topics of current interest related to information-based complexity, ranging from function approximation, numerical integration, numerical methods for the sphere, and algorithms with random information, to Bayesian probabilistic numerical methods and numerical methods for stochastic differential equations.