New Monte Carlo Methods With Estimating Derivatives

Author : Gennadij A. Michajlov
Publisher : VSP
Page : 198 pages
File Size : 53,6 Mb
Release : 1995-01-01
Category : Science
ISBN : 9067641901

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New Monte Carlo Methods With Estimating Derivatives by Gennadij A. Michajlov Pdf

It is possible to use weighted Monte Carlo methods for solving many problems of mathematical physics (boundary value problems for elliptic equations, the Boltzmann equation, radiation transfer and diffusion equations). Weight estimates make it possible to evaluate special functionals, for example, derivatives with respect to parameters of a problem. In this book new weak conditions are presented under which the corresponding vector Monte Carlo estimates are unbiased and their variances are finite. The author has also constructed new Monte Carlo methods for solving the Helmholz equation with a nonconstant parameter, including the stationary Schrodinger equation. New results for linear and nonlinear problems are also presented. Some methods of random function simulation are considered in the special appendix. A new method of substantiating and optimizing the reccurent Monte Carlo estimates without using the Neumann series is presented in the introduction.

Author : G. A. Mikhailov
Publisher : Walter de Gruyter GmbH & Co KG
Page : 196 pages
File Size : 47,6 Mb
Release : 2023-02-14
Category : Mathematics
ISBN : 9783112318935

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New Monte Carlo Methods With Estimating Derivatives by G. A. Mikhailov Pdf

Author : G. A. Mikhailov
Publisher : Walter de Gruyter GmbH & Co KG
Page : 196 pages
File Size : 51,8 Mb
Release : 2018-11-05
Category : Mathematics
ISBN : 9783110941951

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Parametric Estimates by the Monte Carlo Method by G. A. Mikhailov Pdf

No detailed description available for "Parametric Estimates by the Monte Carlo Method".

Author : William L. Dunn,J. Kenneth Shultis
Publisher : Elsevier
Page : 594 pages
File Size : 42,9 Mb
Release : 2022-06-07
Category : Science
ISBN : 9780128197455

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Exploring Monte Carlo Methods by William L. Dunn,J. Kenneth Shultis Pdf

Exploring Monte Carlo Methods, Second Edition provides a valuable introduction to the numerical methods that have come to be known as "Monte Carlo." This unique and trusted resource for course use, as well as researcher reference, offers accessible coverage, clear explanations and helpful examples throughout. Building from the basics, the text also includes applications in a variety of fields, such as physics, nuclear engineering, finance and investment, medical modeling and prediction, archaeology, geology and transportation planning. Provides a comprehensive yet concise treatment of Monte Carlo methods Uses the famous "Buffon’s needle problem" as a unifying theme to illustrate the many aspects of Monte Carlo methods Includes numerous exercises and useful appendices on: Certain mathematical functions, Bose Einstein functions, Fermi Dirac functions and Watson functions

Author : Ivan Dimov
Publisher : World Scientific
Page : 308 pages
File Size : 46,8 Mb
Release : 2008
Category : Mathematics
ISBN : 9789812779892

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Monte Carlo Methods for Applied Scientists by Ivan Dimov Pdf

The Monte Carlo method is inherently parallel and the extensive and rapid development in parallel computers, computational clusters and grids has resulted in renewed and increasing interest in this method. At the same time there has been an expansion in the application areas and the method is now widely used in many important areas of science including nuclear and semiconductor physics, statistical mechanics and heat and mass transfer. This book attempts to bridge the gap between theory and practice concentrating on modern algorithmic implementation on parallel architecture machines. Although a suitable text for final year postgraduate mathematicians and computational scientists it is principally aimed at the applied scientists: only a small amount of mathematical knowledge is assumed and theorem proving is kept to a minimum, with the main focus being on parallel algorithms development often to applied industrial problems. A selection of algorithms developed both for serial and parallel machines are provided. Sample Chapter(s). Chapter 1: Introduction (231 KB). Contents: Basic Results of Monte Carlo Integration; Optimal Monte Carlo Method for Multidimensional Integrals of Smooth Functions; Iterative Monte Carlo Methods for Linear Equations; Markov Chain Monte Carlo Methods for Eigenvalue Problems; Monte Carlo Methods for Boundary-Value Problems (BVP); Superconvergent Monte Carlo for Density Function Simulation by B-Splines; Solving Non-Linear Equations; Algorithmic Effciency for Different Computer Models; Applications for Transport Modeling in Semiconductors and Nanowires. Readership: Applied scientists and mathematicians.

Author : Paul Glasserman
Publisher : Springer Science & Business Media
Page : 603 pages
File Size : 46,7 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

Author : Todor Boyanov
Publisher : Springer Science & Business Media
Page : 741 pages
File Size : 48,8 Mb
Release : 2007-02-20
Category : Computers
ISBN : 9783540709404

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Numerical Methods and Applications by Todor Boyanov Pdf

This book constitutes the thoroughly refereed post-proceedings of the 6th International Conference on Numerical Methods and Applications, NMA 2006, held in Borovets, Bulgaria, in August 2006. The 84 revised full papers presented together with 3 invited papers were carefully reviewed and selected from 111 submissions. The papers are organized in topical sections on numerical methods for hyperbolic problems, robust preconditioning solution methods, Monte Carlo and quasi-Monte Carlo for diverse applications, metaheuristics for optimization problems, uncertain/control systems and reliable numerics, interpolation and quadrature processes, large-scale computations in environmental modelling, and contributed talks.

Author : D G Arsenjev,Vladimir M Ivanov,O Yu Kul'chitsky
Publisher : World Scientific
Page : 437 pages
File Size : 40,7 Mb
Release : 1999-04-19
Category : Mathematics
ISBN : 9789814496032

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Adaptive Methods Of Computing Mathematics And Mechanics: Stochastic Variant by D G Arsenjev,Vladimir M Ivanov,O Yu Kul'chitsky Pdf

This book describes adaptive methods of statistical numerical analysis using evaluation of integrals, solution of integral equations, boundary value problems of the theory of elasticity and heat conduction as examples.The results and approaches provided in this book are different from those available in the literature as detailed descriptions of the mechanisms of adaptation of statistical evaluation procedures, which accelerate their convergence, are given.

Author : Ivan Lirkov
Publisher : Springer Science & Business Media
Page : 701 pages
File Size : 41,8 Mb
Release : 2006-02-14
Category : Computers
ISBN : 9783540319948

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Large-Scale Scientific Computing by Ivan Lirkov Pdf

This book constitutes the thoroughly refereed post-proceedings of the 5th International Conference on Large-Scale Scientific Computations, LSSC 2005, held in Sozopol, Bulgaria in June 2005. The 75 revised full papers presented together with five invited papers were carefully reviewed and selected for inclusion in the book. The papers are organized in topical sections.

Author : V. A. Ogorodnikov,S. M. Prigarin
Publisher : Walter de Gruyter GmbH & Co KG
Page : 252 pages
File Size : 45,8 Mb
Release : 2018-11-05
Category : Mathematics
ISBN : 9783110941999

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Numerical Modelling of Random Processes and Fields by V. A. Ogorodnikov,S. M. Prigarin Pdf

No detailed description available for "Numerical Modelling of Random Processes and Fields".

Author : Mihnea Dulea,Aneta Karaivanova,Anastasis Oulas,Ioannis Liabotis,Danica Stojiljkovic,Ognjen Prnjat
Publisher : Springer Science & Business Media
Page : 177 pages
File Size : 48,5 Mb
Release : 2013-08-13
Category : Technology & Engineering
ISBN : 9783319015200

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High-Performance Computing Infrastructure for South East Europe's Research Communities by Mihnea Dulea,Aneta Karaivanova,Anastasis Oulas,Ioannis Liabotis,Danica Stojiljkovic,Ognjen Prnjat Pdf

This book is a collection of carefully reviewed papers presented during the HP-SEE User Forum, the meeting of the High-Performance Computing Infrastructure for South East Europe’s (HP-SEE) Research Communities, held in October 17-19, 2012, in Belgrade, Serbia. HP-SEE aims at supporting and integrating regional HPC infrastructures; implementing solutions for HPC in the region; and making HPC resources available to research communities in SEE, region, which are working in a number of scientific fields with specific needs for massively parallel execution on powerful computing resources. HP-SEE brings together research communities and HPC operators from 14 different countries and enables them to share HPC facilities, software, tools, data and research results, thus fostering collaboration and strengthening the regional and national human network; the project specifically supports research groups in the areas of computational physics, computational chemistry and the life sciences. The contributions presented in this book are organized in four main sections: computational physics; computational chemistry; the life sciences; and scientific computing and HPC operations.

Author : Harald Niederreiter
Publisher : Springer Science & Business Media
Page : 462 pages
File Size : 45,5 Mb
Release : 2011-06-28
Category : Mathematics
ISBN : 9783642187438

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Monte Carlo and Quasi-Monte Carlo Methods 2002 by Harald Niederreiter Pdf

This book represents the refereed proceedings of the Fifth International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing which was held at the National University of Singapore in the year 2002. An important feature are invited surveys of the state of the art in key areas such as multidimensional numerical integration, low-discrepancy point sets, computational complexity, finance, and other applications of Monte Carlo and quasi-Monte Carlo methods. These proceedings also include 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.

Author : Zhilin Li
Publisher : Springer Science & Business Media
Page : 642 pages
File Size : 51,7 Mb
Release : 2005-02-21
Category : Computers
ISBN : 9783540249375

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Numerical Analysis and Its Applications by Zhilin Li Pdf

This book constitutes the thoroughly refereed post-proceedings of the Third International Conference on Numerical Analysis and Its Applications, NAA 2004, held in Rousse, Bulgaria in June/July 2004. The 68 revised full papers presented together with 8 invited papers were carefully selected during two rounds of reviewing and improvement. All current aspects of numerical analysis are addressed. Among the application fields covered are computational sciences and engineering, chemistry, physics, economics, simulation, fluid dynamics, visualization, etc.

Author : Prem Kythe,Pratap Puri
Publisher : Springer Science & Business Media
Page : 530 pages
File Size : 55,5 Mb
Release : 2002-04-26
Category : Mathematics
ISBN : 0817641920

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Computational Methods for Linear Integral Equations by Prem Kythe,Pratap Puri Pdf

This book presents numerical methods and computational aspects for linear integral equations. Such equations occur in various areas of applied mathematics, physics, and engineering. The material covered in this book, though not exhaustive, offers useful techniques for solving a variety of problems. Historical information cover ing the nineteenth and twentieth centuries is available in fragments in Kantorovich and Krylov (1958), Anselone (1964), Mikhlin (1967), Lonseth (1977), Atkinson (1976), Baker (1978), Kondo (1991), and Brunner (1997). Integral equations are encountered in a variety of applications in many fields including continuum mechanics, potential theory, geophysics, electricity and mag netism, kinetic theory of gases, hereditary phenomena in physics and biology, renewal theory, quantum mechanics, radiation, optimization, optimal control sys tems, communication theory, mathematical economics, population genetics, queue ing theory, and medicine. Most of the boundary value problems involving differ ential equations can be converted into problems in integral equations, but there are certain problems which can be formulated only in terms of integral equations. A computational approach to the solution of integral equations is, therefore, an essential branch of scientific inquiry.

Author : Dirk P. Kroese,Thomas Taimre,Zdravko I. Botev
Publisher : John Wiley & Sons
Page : 627 pages
File Size : 53,7 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.