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Monte Carlo and Quasi-Monte Carlo Methods

  • Kartonierter Einband
  • 640 Seiten
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This book presents the refereed proceedings of the Eleventh International Conference on Monte Carlo and Quasi-Monte Carlo Methods ... Weiterlesen
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Beschreibung

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.


Provides information on current trends in the area of Monte Carlo (MC) and quasi-Monte Carlo (QMC) methods

Presents invited survey papers that summarize the state-of-the-art of the corresponding field

Benefits practitioners by including concrete applications in statistics, finance, computer graphics, and other computational areas

Includes supplementary material: sn.pub/extras



Inhalt
Part I Invited papers.- Multilevel Monte Carlo Implementation for SDEs driven by Truncated Stable Processes.- Construction of a Mean Square Error Adaptive EulerMaruyama Method With Applications in Multilevel Monte Carlo.- Vandermonde Nets and Vandermonde Sequences.- Path Space Markov Chain Monte Carlo Methods in Computer Graphics.- Walsh Figure of Merit for Digital Nets: An Easy Measure for Higher Order Convergent QMC.- Some Results on the Complexity of Numerical Integration.- Approximate Bayesian Computation: A Survey on Recent Results.- Part II Contributed papers.- Multilevel Monte Carlo Simulation of Statistical Solutions to the NavierStokes Equations.- Unbiased Simulation of Distributions with Explicitly Known Integral Transforms.- Central Limit Theorem for Adaptive Multilevel Splitting Estimators in an Idealized Setting.- Comparison between LS-Sequences and -adic van der Corput Sequences.- Computational Higher Order Quasi-Monte Carlo Integration.- Numerical Computation of Multivariate Normal Probabilities using Bivariate Conditioning.- Non-nested Adaptive Timesteps in Multilevel Monte Carlo Computations.- On ANOVA Decompositions of Kernels and Gaussian Random Field Paths.- The Mean Square Quasi-Monte Carlo Error for Digitally Shifted Digital Nets.- Uncertainty and Robustness in Weather Derivative Models.- Reliable Adaptive Cubature Using Digital Sequences.- Optimal Point Sets for Quasi-Monte Carlo Integration of Bivariate Periodic Functions with Bounded Mixed Derivatives.- Adaptive Multidimensional Integration Based on Rank-1 Lattices.- Path Space Filtering.- Tractability of Multivariate Integration in Hybrid Function Spaces.- Derivative-based Global Sensitivity Measures and Their Link with Sobol' Sensitivity Indices.- Bernstein Numbers and Lower Bounds for the Monte Carlo Error.- A Note on the Importance of Weak Convergence Rates for SPDE Approximations in Multilevel Monte Carlo Schemes.- A Strategy for Parallel Implementations of Stochastic Lagrangian Simulation.- A New Rejection Sampling Method for Truncated Multivariate Gaussian Random Variables Restricted to Convex Sets.- Van der Corput and Golden Ratio Sequences Along the Hilbert Space-Filling Curve.- Uniform Weak Tractability of Weighted Integration.- Incremental Greedy Algorithm and Its Applications in Numerical Integration.- On Upper Error Bounds for Quadrature Formulas on Function Classes by K K Frolov.- Tractability of Function Approximation With Product Kernels.- Discrepancy Estimates for Acceptance-Rejection Samplers Using Stratied Inputs.- List of Participants.- Index.

Produktinformationen

Titel: Monte Carlo and Quasi-Monte Carlo Methods
Untertitel: MCQMC, Leuven, Belgium, April 2014
Editor:
EAN: 9783319815312
ISBN: 3319815318
Format: Kartonierter Einband
Herausgeber: Springer International Publishing
Anzahl Seiten: 640
Gewicht: 955g
Größe: H235mm x B155mm x T34mm
Jahr: 2018
Untertitel: Englisch
Auflage: Softcover reprint of the original 1st ed. 2016

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