Monte Carlo and Quasi-Monte Carlo Methods 1998

Proceedings of a Conference held at the Claremont Graduate University, Claremont, California, USA, June 22-26, 1998

Harald Niederreiter, Jerome Spanier

470 pages, parution le 15/11/1999

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Résumé

This book represents the refereed proceedings of the Third International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing which was held at Claremont Graduate University in 1998. 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 area.

Contents

Preface

Conference Participants
Adaptively Learning an Importance Function Using Transport Constrained Monte Carlo
What Affects the Accuracy of Quasi-Monte Carlo Quadrature?
Dynamic Creation of Pseudorandom Number Generators
Constructions of (t, m, s)-Nets
Monte Carlo, Quasi-Monte Carlo, and Randomized Quasi-Monte Carlo
Geometrically Convergent Learning Algorithms for Global Solutions of Transport Problems
Efficiency of Quasi-Monte Carlo Algorithms for High Dimensional Integrals
Domain Decomposition Methods for Parallel Laser-Tissue Models with Monte Carlo Transport
Pricing Complex Barrier Options with General Features Using Sharp Large Deviation Estimates
Application of Quasi-Monte Carlo Sampling to the Multi Path Method for Radiosity
Semi-Monte Carlo Light Tracing Applied to the Study of Road Visibility in Fog
Quasi-Monte Carlo Node Sets from Linear Congruential Generators
Methods for Generating Random Orthogonal Matrices
Comparison of Monte Carlo Algorithms for Obtaining Geometric Convergence for Model Transport Problems
Wavelet Monte Carlo Methods for the Global Solution of Integral Equations
Sequential Correlated Sampling Methods for Some Transport Problems
Error Analysis of Sequential Monte Carlo Methods for Transport Problems
Adaptive Importance Sampling Algorithms for Transport Problems
Applications of Monte Carlo/Quasi-Monte Carlo Methods in Finance: Option Pricing
A Discrepancy-Based Analysis of Figures of Merit for Lattice Rules
Grid-Free Simulation of Convection-Diffusion
A Comparison of Monte Carlo, Lattice Rules and Other Low-Discrepancy Point Sets
Higher-Dimensional Properties of Non-Uniform Pseudo-Random Variates
Quasi-Monte Carlo Simulation Methods for Measurement Uncertainty
Linear Programming Bounds for Ordered Orthogonal Arrays and (T, M, S)-Nets
A Practical Approach to the Error Estimation of Quasi-Monte Carlo Integrations
Applications of a Hybrid-Monte Carlo Sequence to Option Pricing
Monte Carlo Simulation of Photometrical Measurements in Fog
Variance Reduction Techniques for Large Scale Risk Management
Improvements and Extensions of the "Salzburg Tables" by Using Irreducible Polynomials
A LeVeque-Type Lower Bound for Discrepancy
The Diaphony and the Star-Diaphony of Some Two-Dimensional Sequences

Caractéristiques techniques

	PAPIER
Éditeur(s)	Springer
Auteur(s)	Harald Niederreiter, Jerome Spanier
Parution	15/11/1999
Nb. de pages	470
Format	15,5 x 23,5
Couverture	Broché
Poids	626g
Intérieur	Noir et Blanc
EAN13	9783540661764