Monte Carlo And Quasi Monte Carlo Methods

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Monte Carlo and Quasi-Monte Carlo Methods 1996

Harald Niederreiter,Peter Hellekalek,Gerhard Larcher,Peter Zinterhof
Monte Carlo and Quasi Monte Carlo Methods 1996 Book PDF

Author : Harald Niederreiter,Peter Hellekalek,Gerhard Larcher,Peter Zinterhof
Publisher : Springer Science & Business Media
Page : 463 pages
File Size : 51,9 Mb
Release : 2012-12-06
Category : Mathematics
ISBN : 9781461216902

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Monte Carlo and Quasi-Monte Carlo Methods 1996 by Harald Niederreiter,Peter Hellekalek,Gerhard Larcher,Peter Zinterhof Pdf

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.

Monte Carlo and Quasi-Monte Carlo Methods

Bruno Tuffin,Pierre L'Ecuyer
Monte Carlo and Quasi Monte Carlo Methods Book PDF

Author : Bruno Tuffin,Pierre L'Ecuyer
Publisher : Springer Nature
Page : 533 pages
File Size : 51,5 Mb
Release : 2020-05-01
Category : Computers
ISBN : 9783030434656

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Monte Carlo and Quasi-Monte Carlo Methods by Bruno Tuffin,Pierre L'Ecuyer Pdf

​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.

Random Number Generation and Quasi-Monte Carlo Methods

Harald Niederreiter
Random Number Generation and Quasi Monte Carlo Methods Book PDF

Author : Harald Niederreiter
Publisher : SIAM
Page : 247 pages
File Size : 44,8 Mb
Release : 1992-01-01
Category : Mathematics
ISBN : 1611970083

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Random Number Generation and Quasi-Monte Carlo Methods by Harald Niederreiter Pdf

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.

Monte Carlo and Quasi-Monte Carlo Sampling

Christiane Lemieux
Monte Carlo and Quasi Monte Carlo Sampling Book PDF

Author : Christiane Lemieux
Publisher : Springer Science & Business Media
Page : 373 pages
File Size : 41,7 Mb
Release : 2009-04-03
Category : Mathematics
ISBN : 9780387781655

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Monte Carlo and Quasi-Monte Carlo Sampling by Christiane Lemieux Pdf

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.

Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing

Harald Niederreiter,Peter J. Shiue
Monte Carlo and Quasi Monte Carlo Methods in Scientific Computing Book PDF

Author : Harald Niederreiter,Peter J. Shiue
Publisher : Springer Science & Business Media
Page : 391 pages
File Size : 52,8 Mb
Release : 2012-12-06
Category : Mathematics
ISBN : 9781461225522

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Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing by Harald Niederreiter,Peter J. Shiue Pdf

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.

Monte Carlo and Quasi-Monte Carlo Methods

Ronald Cools,Dirk Nuyens
Monte Carlo and Quasi Monte Carlo Methods Book PDF

Author : Ronald Cools,Dirk Nuyens
Publisher : Springer
Page : 624 pages
File Size : 47,5 Mb
Release : 2016-06-13
Category : Mathematics
ISBN : 9783319335070

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Monte Carlo and Quasi-Monte Carlo Methods by Ronald Cools,Dirk Nuyens Pdf

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.

Introduction to Quasi-Monte Carlo Integration and Applications

Gunther Leobacher,Friedrich Pillichshammer
Introduction to Quasi Monte Carlo Integration and Applications Book PDF

Author : Gunther Leobacher,Friedrich Pillichshammer
Publisher : Springer
Page : 206 pages
File Size : 47,6 Mb
Release : 2014-09-12
Category : Mathematics
ISBN : 9783319034256

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Introduction to Quasi-Monte Carlo Integration and Applications by Gunther Leobacher,Friedrich Pillichshammer Pdf

This textbook introduces readers to the basic concepts of quasi-Monte Carlo methods for numerical integration and to the theory behind them. The comprehensive treatment of the subject with detailed explanations comprises, for example, lattice rules, digital nets and sequences and discrepancy theory. It also presents methods currently used in research and discusses practical applications with an emphasis on finance-related problems. Each chapter closes with suggestions for further reading and with exercises which help students to arrive at a deeper understanding of the material presented. The book is based on a one-semester, two-hour undergraduate course and is well-suited for readers with a basic grasp of algebra, calculus, linear algebra and basic probability theory. It provides an accessible introduction for undergraduate students in mathematics or computer science.

Random Number Generation and Quasi-Monte Carlo Methods

Harald Niederreiter
Random Number Generation and Quasi Monte Carlo Methods Book PDF

Author : Harald Niederreiter
Publisher : SIAM
Page : 243 pages
File Size : 43,7 Mb
Release : 1992-01-01
Category : Mathematics
ISBN : 9780898712957

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Random Number Generation and Quasi-Monte Carlo Methods by Harald Niederreiter Pdf

This volume contains recent work in uniform pseudorandom number generation and quasi-Monte Carlo methods, and stresses the interplay between them.

Applied Number Theory

Harald Niederreiter,Arne Winterhof
Applied Number Theory Book PDF

Author : Harald Niederreiter,Arne Winterhof
Publisher : Springer
Page : 442 pages
File Size : 46,7 Mb
Release : 2015-09-01
Category : Mathematics
ISBN : 9783319223216

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Applied Number Theory by Harald Niederreiter,Arne Winterhof Pdf

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.

Modeling Uncertainty

Moshe Dror,Pierre Lécuyer,Pierre L'Ecuyer,Ferenc Szidarovszky
Modeling Uncertainty Book PDF

Author : Moshe Dror,Pierre Lécuyer,Pierre L'Ecuyer,Ferenc Szidarovszky
Publisher : Springer Science & Business Media
Page : 810 pages
File Size : 44,5 Mb
Release : 2002-01-31
Category : Business & Economics
ISBN : 0792374630

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Modeling Uncertainty by Moshe Dror,Pierre Lécuyer,Pierre L'Ecuyer,Ferenc Szidarovszky Pdf

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.

Monte-Carlo and Quasi-Monte Carlo Methods 1998

Harald Niederreiter,Jerome Spanier
Monte Carlo and Quasi Monte Carlo Methods 1998 Book PDF

Author : Harald Niederreiter,Jerome Spanier
Publisher : Springer
Page : 490 pages
File Size : 50,9 Mb
Release : 2000
Category : Business & Economics
ISBN : STANFORD:36105028525017

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Monte-Carlo and Quasi-Monte Carlo Methods 1998 by Harald Niederreiter,Jerome Spanier Pdf

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.

Monte Carlo and Quasi-Monte Carlo Methods

Art B. Owen,Peter W. Glynn
Monte Carlo and Quasi Monte Carlo Methods Book PDF

Author : Art B. Owen,Peter W. Glynn
Publisher : Springer
Page : 479 pages
File Size : 54,9 Mb
Release : 2018-07-03
Category : Computers
ISBN : 9783319914367

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Monte Carlo and Quasi-Monte Carlo Methods by Art B. Owen,Peter W. Glynn Pdf

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.

Random Number Generation and Monte Carlo Methods

James E. Gentle
Random Number Generation and Monte Carlo Methods Book PDF

Author : James E. Gentle
Publisher : Springer Science & Business Media
Page : 252 pages
File Size : 47,9 Mb
Release : 2013-03-14
Category : Computers
ISBN : 9781475729603

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Random Number Generation and Monte Carlo Methods by James E. Gentle Pdf

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.

Monte Carlo Methods in Financial Engineering

Paul Glasserman
Monte Carlo Methods in Financial Engineering Book PDF

Author : Paul Glasserman
Publisher : Springer Science & Business Media
Page : 603 pages
File Size : 47,9 Mb
Release : 2013-03-09
Category : Mathematics
ISBN : 9780387216171

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Monte Carlo Methods in Financial Engineering by Paul Glasserman Pdf

From the reviews: "Paul Glasserman has written an astonishingly good book that bridges financial engineering and the Monte Carlo method. The book will appeal to graduate students, researchers, and most of all, practicing financial engineers [...] So often, financial engineering texts are very theoretical. This book is not." --Glyn Holton, Contingency Analysis

Handbook of Monte Carlo Methods

Dirk P. Kroese,Thomas Taimre,Zdravko I. Botev
Handbook of Monte Carlo Methods Book PDF

Author : Dirk P. Kroese,Thomas Taimre,Zdravko I. Botev
Publisher : John Wiley & Sons
Page : 627 pages
File Size : 47,5 Mb
Release : 2013-06-06
Category : Mathematics
ISBN : 9781118014950

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Handbook of Monte Carlo Methods by Dirk P. Kroese,Thomas Taimre,Zdravko I. Botev Pdf

A comprehensive overview of Monte Carlo simulation that explores the latest topics, techniques, and real-world applications More and more of today’s numerical problems found in engineering and finance are solved through Monte Carlo methods. The heightened popularity of these methods and their continuing development makes it important for researchers to have a comprehensive understanding of the Monte Carlo approach. Handbook of Monte Carlo Methods provides the theory, algorithms, and applications that helps provide a thorough understanding of the emerging dynamics of this rapidly-growing field. The authors begin with a discussion of fundamentals such as how to generate random numbers on a computer. Subsequent chapters discuss key Monte Carlo topics and methods, including: Random variable and stochastic process generation Markov chain Monte Carlo, featuring key algorithms such as the Metropolis-Hastings method, the Gibbs sampler, and hit-and-run Discrete-event simulation Techniques for the statistical analysis of simulation data including the delta method, steady-state estimation, and kernel density estimation Variance reduction, including importance sampling, latin hypercube sampling, and conditional Monte Carlo Estimation of derivatives and sensitivity analysis Advanced topics including cross-entropy, rare events, kernel density estimation, quasi Monte Carlo, particle systems, and randomized optimization The presented theoretical concepts are illustrated with worked examples that use MATLAB®, a related Web site houses the MATLAB® code, allowing readers to work hands-on with the material and also features the author's own lecture notes on Monte Carlo methods. Detailed appendices provide background material on probability theory, stochastic processes, and mathematical statistics as well as the key optimization concepts and techniques that are relevant to Monte Carlo simulation. Handbook of Monte Carlo Methods is an excellent reference for applied statisticians and practitioners working in the fields of engineering and finance who use or would like to learn how to use Monte Carlo in their research. It is also a suitable supplement for courses on Monte Carlo methods and computational statistics at the upper-undergraduate and graduate levels.