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Author | : Christiane Lemieux |
Publisher | : Springer Science & Business Media |
Total Pages | : 373 |
Release | : 2009-04-03 |
Genre | : Mathematics |
ISBN | : 038778165X |
Download Monte Carlo and Quasi-Monte Carlo Sampling Book in PDF, ePub and Kindle
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.
Author | : Harald Niederreiter |
Publisher | : Springer Science & Business Media |
Total Pages | : 463 |
Release | : 2012-12-06 |
Genre | : Mathematics |
ISBN | : 1461216907 |
Download Monte Carlo and Quasi-Monte Carlo Methods 1996 Book in PDF, ePub and Kindle
Monte Carlo methods are numerical methods based on random sampling and quasi-Monte Carlo methods are their deterministic versions. This volume contains the refereed proceedings of the Second International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing which was held at the University of Salzburg (Austria) from July 9--12, 1996. The conference was a forum for recent progress in the theory and the applications of these methods. The topics covered in this volume range from theoretical issues in Monte Carlo and simulation methods, low-discrepancy point sets and sequences, lattice rules, and pseudorandom number generation to applications such as numerical integration, numerical linear algebra, integral equations, binary search, global optimization, computational physics, mathematical finance, and computer graphics. These proceedings will be of interest to graduate students and researchers in Monte Carlo and quasi-Monte Carlo methods, to numerical analysts, and to practitioners of simulation methods.
Author | : Harald Niederreiter |
Publisher | : SIAM |
Total Pages | : 247 |
Release | : 1992-01-01 |
Genre | : Mathematics |
ISBN | : 9781611970081 |
Download Random Number Generation and Quasi-Monte Carlo Methods Book in PDF, ePub and Kindle
Tremendous progress has taken place in the related areas of uniform pseudorandom number generation and quasi-Monte Carlo methods in the last five years. This volume contains recent important work in these two areas, and stresses the interplay between them. Some developments contained here have never before appeared in book form. Includes the discussion of the integrated treatment of pseudorandom numbers and quasi-Monte Carlo methods; the systematic development of the theory of lattice rules and the theory of nets and (t,s)-sequences; the construction of new and better low-discrepancy point sets and sequences; Nonlinear congruential methods; the initiation of a systematic study of methods for pseudorandom vector generation; and shift-register pseudorandom numbers. Based on a series of 10 lectures presented by the author at a CBMS-NSF Regional Conference at the University of Alaska at Fairbanks in 1990 to a selected group of researchers, this volume includes background material to make the information more accessible to nonspecialists.
Author | : Bruno Tuffin |
Publisher | : Springer Nature |
Total Pages | : 533 |
Release | : 2020-05-01 |
Genre | : Computers |
ISBN | : 3030434656 |
Download Monte Carlo and Quasi-Monte Carlo Methods Book in PDF, ePub and Kindle
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.
Author | : Harald Niederreiter |
Publisher | : Springer Science & Business Media |
Total Pages | : 391 |
Release | : 2012-12-06 |
Genre | : Mathematics |
ISBN | : 1461225523 |
Download Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing Book in PDF, ePub and Kindle
Scientists and engineers are increasingly making use of simulation methods to solve problems which are insoluble by analytical techniques. Monte Carlo methods which make use of probabilistic simulations are frequently used in areas such as numerical integration, complex scheduling, queueing networks, and large-dimensional simulations. This collection of papers arises from a conference held at the University of Nevada, Las Vegas, in 1994. The conference brought together researchers across a range of disciplines whose interests include the theory and application of these methods. This volume provides a timely survey of this field and the new directions in which the field is moving.
Author | : Moshe Dror |
Publisher | : Springer Science & Business Media |
Total Pages | : 810 |
Release | : 2002-01-31 |
Genre | : Business & Economics |
ISBN | : 9780792374633 |
Download Modeling Uncertainty Book in PDF, ePub and Kindle
Writing in honour of Sid Yakowitz, 50 internationally known scholars have collectively contributed 30 papers on modelling uncertainty to this volume. These include papers with a theoretical emphasis and others that focus on applications.
Author | : Art B. Owen |
Publisher | : Springer |
Total Pages | : 479 |
Release | : 2018-07-03 |
Genre | : Computers |
ISBN | : 3319914367 |
Download Monte Carlo and Quasi-Monte Carlo Methods Book in PDF, ePub and Kindle
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.
Author | : Pierre L' Ecuyer |
Publisher | : Springer Science & Business Media |
Total Pages | : 669 |
Release | : 2010-01-14 |
Genre | : Mathematics |
ISBN | : 3642041078 |
Download Monte Carlo and Quasi-Monte Carlo Methods 2008 Book in PDF, ePub and Kindle
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.
Author | : Harald Niederreiter |
Publisher | : Springer |
Total Pages | : 452 |
Release | : 2015-09-01 |
Genre | : Mathematics |
ISBN | : 3319223216 |
Download Applied Number Theory Book in PDF, ePub and Kindle
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.
Author | : James E. Gentle |
Publisher | : Springer Science & Business Media |
Total Pages | : 252 |
Release | : 2013-03-14 |
Genre | : Computers |
ISBN | : 147572960X |
Download Random Number Generation and Monte Carlo Methods Book in PDF, ePub and Kindle
Monte Carlo simulation has become one of the most important tools in all fields of science. This book surveys the basic techniques and principles of the subject, as well as general techniques useful in more complicated models and in novel settings. The emphasis throughout is on practical methods that work well in current computing environments.