Monte Carlo and Quasi-Monte Carlo Methods : MCQMC, Leuven, Belgium, April 2014 / edited by Ronald Cools, Dirk Nuyens.

Format:

Book

Contributor:

Cools, Ronald., Editor.

Nuyens, Dirk., Editor.

Series:

Springer Proceedings in Mathematics & Statistics, 2194-1017 ; 163

Language:

English

Subjects (All):

Mathematics--Data processing.

Mathematics.

Computational Mathematics and Numerical Analysis.

Applications of Mathematics.

Local Subjects:

Computational Mathematics and Numerical Analysis.

Applications of Mathematics.

Physical Description:

1 online resource (XVIII, 622 p. 116 illus., 57 illus. in color.)

Edition:

1st ed. 2016.

Place of Publication:

Cham : Springer International Publishing : Imprint: Springer, 2016.

Summary:

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.

Contents:

Part I Invited papers

Multilevel Monte Carlo Implementation for SDEs driven by Truncated Stable Processes

Construction of a Mean Square Error Adaptive Euler–Maruyama 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 Navier–Stokes 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 β -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 StochasticLagrangian 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 Stratified Inputs

List of Participants

Index.

Notes:

Includes bibliographical references.

ISBN:

3-319-33507-3