Monte Carlo and quasi-Monte Carlo methods 2012 Josef Dick [and three others], editors

Format:

Book

Contributor:

Dick, J. (Josef)

Series:

Springer proceedings in mathematics & statistics v. 65

Springer proceedings in mathematics and statistics 2194-1009 volume 65

Language:

English

Subjects (All):

Monte Carlo method.

Computer graphics.

Computer science--Mathematics.

Computer science.

Mathematical statistics.

Monte Carlo Method.

Computer Graphics.

computer graphics.

Medical Subjects:

Monte Carlo Method.

Computer Graphics.

Physical Description:

1 online resource

Place of Publication:

Heidelberg Springer [2013]

System Details:

data file

Summary:

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

Contents:

Invited Articles. Computing Functionals of Square Root and Wishart Processes Under the Benchmark Approach via Exact Simulation Jan Baldeaux, Eckhard Platen The Supremum Norm of the Discrepancy Function: Recent Results and Connections Dmitriy Bilyk, Michael Lacey An Introduction to Stochastic Particle Integration Methods: With Applications to Risk and Insurance Pierre Del Moral, Gareth W. Peters, Christelle Vergé Multilevel Monte Carlo Methods Michael B. Giles Guaranteed Conservative Fixed Width Confidence Intervals via Monte Carlo Sampling Fred J. Hickernell, Lan Jiang, Yuewei Liu, Art B. Owen Discrepancy, Integration and Tractability Aicke Hinrichs Noisy Information: Optimality, Complexity, Tractability Leszek Plaskota Tutorial. Quasi-Monte Carlo Image Synthesis in a Nutshell Alexander Keller Contributed Articles. Conditional Sampling for Barrier Option Pricing Under the Heston Model Nico Achtsis, Ronald Cools, Dirk Nuyens

Probabilistic Star Discrepancy Bounds for Double Infinite Random Matrices Christoph Aistleitner, Markus Weimar The L 2 Discrepancy of Irrational Lattices Dmitriy Bilyk Complexity of Banach Space Valued and Parametric Integration Thomas Daun, Stefan Heinrich Extended Latin Hypercube Sampling for Integration and Simulation Rami El Haddad, Rana Fakhereddine, Christian Lécot, Gopalakrishnan Venkiteswaran A Kernel-Based Collocation Method for Elliptic Partial Differential Equations With Random Coefficients Gregory E. Fasshauer, Qi Ye Polynomial Accelerated MCMC and Other Sampling Algorithms Inspired by Computational Optimization Colin Fox Antithetic Multilevel Monte Carlo Estimation for Multidimensional SDEs Michael B. Giles, Lukasz Szpruch On the Convergence of Quantum and Sequential Monte Carlo Methods François Giraud, Pierre Del Moral

Lower Error Bounds for Randomized Multilevel and Changing Dimension Algorithms Michael Gnewuch A Non-empirical Test on the Second to the Sixth Least Significant Bits of Pseudorandom Number Generators Hiroshi Haramoto, Makoto Matsumoto, Takuji Nishimura, Yuki Otsuka A Finite-Row Scrambling of Niederreiter Sequences Roswitha Hofer, Gottlieb Pirsic Reconstructing Multivariate Trigonometric Polynomials by Sampling Along Generated Sets Lutz Kämmerer Bayesian Approaches to the Design of Markov Chain Monte Carlo Samplers Jonathan M. Keith, Christian M. Davey Deterministic Consistent Density Estimation for Light Transport Simulation Alexander Keller, Nikolaus Binder On Wavelet-Galerkin Methods for Semilinear Parabolic Equations with Additive Noise Mihály Kovács, Stig Larsson, Karsten Urban Component-by-Component Construction of Hybrid Point Sets Based on Hammersley and Lattice Point Sets Peter Kritzer, Gunther Leobacher, Friedrich Pillichshammer

A QMC-Spectral Method for Elliptic PDEs with Random Coefficients on the Unit Sphere Quoc Thong Le Gia Sampling and Low-Rank Tensor Approximation of the Response Surface Alexander Litvinenko, Hermann G. Matthies, Tarek A. El-Moselhy The Stochastic EM Algorithm for Censored Mixed Models Ian C. Marschner Existence of Higher Order Convergent Quasi-Monte Carlo Rules via Walsh Figure of Merit Makoto Matsumoto, Takehito Yoshiki ANOVA Decomposition of Convex Piecewise Linear Functions Werner Römisch Hit-and-Run for Numerical Integration Daniel Rudolf QMC Galerkin Discretization of Parametric Operator Equations Christoph Schwab On the Choice of Weights in a Function Space for Quasi-Monte Carlo Methods for a Class of Generalised Response Models in Statistics Vasile Sinescu, Frances Y. Kuo, Ian H. Sloan Multi-level Monte Carlo Finite Difference and Finite Volume Methods for Stochastic Linear Hyperbolic Systems Jonas Šukys, Siddhartha Mishra, Christoph Schwab

Part I: Invited Articles

Part II: Tutorial

Part III: Contributed Articles

Conference Participants

Index

Notes:

Includes bibliographical references and index

Online resource; title from PDF title page (ebrary, viewed January 9, 2014)

Other Format:

Printed edition:

ISBN:

9783642410956

3642410952

3642410944

9783642410949

OCLC:

868923463

Publisher Number:

10.1007/978-3-642-41095-6

Access Restriction:

Restricted for use by site license