Random And Quasi Random Point Sets

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Random and Quasi-Random Point Sets

Peter Hellekalek,Gerhard Larcher
Random and Quasi Random Point Sets Book PDF

Author : Peter Hellekalek,Gerhard Larcher
Publisher : Springer Science & Business Media
Page : 345 pages
File Size : 50,6 Mb
Release : 2012-12-06
Category : Mathematics
ISBN : 9781461217022

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Random and Quasi-Random Point Sets by Peter Hellekalek,Gerhard Larcher Pdf

This volume is a collection of survey papers on recent developments in the fields of quasi-Monte Carlo methods and uniform random number generation. We will cover a broad spectrum of questions, from advanced metric number theory to pricing financial derivatives. The Monte Carlo method is one of the most important tools of system modeling. Deterministic algorithms, so-called uniform random number gen erators, are used to produce the input for the model systems on computers. Such generators are assessed by theoretical ("a priori") and by empirical tests. In the a priori analysis, we study figures of merit that measure the uniformity of certain high-dimensional "random" point sets. The degree of uniformity is strongly related to the degree of correlations within the random numbers. The quasi-Monte Carlo approach aims at improving the rate of conver gence in the Monte Carlo method by number-theoretic techniques. It yields deterministic bounds for the approximation error. The main mathematical tool here are so-called low-discrepancy sequences. These "quasi-random" points are produced by deterministic algorithms and should be as "super" uniformly distributed as possible. Hence, both in uniform random number generation and in quasi-Monte Carlo methods, we study the uniformity of deterministically generated point sets in high dimensions. By a (common) abuse oflanguage, one speaks of random and quasi-random point sets. The central questions treated in this book are (i) how to generate, (ii) how to analyze, and (iii) how to apply such high-dimensional point sets.

Random and Quasi-Random Point Sets

Peter Hellekalek,Gerhard Larcher
Random and Quasi Random Point Sets Book PDF

Author : Peter Hellekalek,Gerhard Larcher
Publisher : Springer
Page : 0 pages
File Size : 52,5 Mb
Release : 1998-10-09
Category : Mathematics
ISBN : 0387985549

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Random and Quasi-Random Point Sets by Peter Hellekalek,Gerhard Larcher Pdf

This volume is a collection of survey papers on recent developments in the fields of quasi-Monte Carlo methods and uniform random number generation. We will cover a broad spectrum of questions, from advanced metric number theory to pricing financial derivatives. The Monte Carlo method is one of the most important tools of system modeling. Deterministic algorithms, so-called uniform random number gen erators, are used to produce the input for the model systems on computers. Such generators are assessed by theoretical ("a priori") and by empirical tests. In the a priori analysis, we study figures of merit that measure the uniformity of certain high-dimensional "random" point sets. The degree of uniformity is strongly related to the degree of correlations within the random numbers. The quasi-Monte Carlo approach aims at improving the rate of conver gence in the Monte Carlo method by number-theoretic techniques. It yields deterministic bounds for the approximation error. The main mathematical tool here are so-called low-discrepancy sequences. These "quasi-random" points are produced by deterministic algorithms and should be as "super" uniformly distributed as possible. Hence, both in uniform random number generation and in quasi-Monte Carlo methods, we study the uniformity of deterministically generated point sets in high dimensions. By a (common) abuse oflanguage, one speaks of random and quasi-random point sets. The central questions treated in this book are (i) how to generate, (ii) how to analyze, and (iii) how to apply such high-dimensional point sets.

Monte Carlo and Quasi-Monte Carlo Methods 2012

Josef Dick,Frances Y. Kuo,Gareth W. Peters,Ian H. Sloan
Monte Carlo and Quasi Monte Carlo Methods 2012 Book PDF

Author : Josef Dick,Frances Y. Kuo,Gareth W. Peters,Ian H. Sloan
Publisher : Springer Science & Business Media
Page : 680 pages
File Size : 41,8 Mb
Release : 2013-12-05
Category : Mathematics
ISBN : 9783642410956

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Monte Carlo and Quasi-Monte Carlo Methods 2012 by Josef Dick,Frances Y. Kuo,Gareth W. Peters,Ian H. Sloan Pdf

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.

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 : 44,7 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

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 : 43,8 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.

Modeling Uncertainty

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

Author : Moshe Dror,Pierre L'Ecuyer,Ferenc Szidarovszky
Publisher : Springer
Page : 770 pages
File Size : 51,5 Mb
Release : 2019-11-05
Category : Mathematics
ISBN : 9780306481024

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

Modeling Uncertainty: An Examination of Stochastic Theory, Methods, and Applications, is a volume undertaken by the friends and colleagues of Sid Yakowitz in his honor. Fifty internationally known scholars have collectively contributed 30 papers on modeling uncertainty to this volume. Each of these papers was carefully reviewed and in the majority of cases the original submission was revised before being accepted for publication in the book. The papers cover a great variety of topics in probability, statistics, economics, stochastic optimization, control theory, regression analysis, simulation, stochastic programming, Markov decision process, application in the HIV context, and others. There are papers with a theoretical emphasis and others that focus on applications. A number of papers survey the work in a particular area and in a few papers the authors present their personal view of a topic. It is a book with a considerable number of expository articles, which are accessible to a nonexpert - a graduate student in mathematics, statistics, engineering, and economics departments, or just anyone with some mathematical background who is interested in a preliminary exposition of a particular topic. Many of the papers present the state of the art of a specific area or represent original contributions which advance the present state of knowledge. In sum, it is a book of considerable interest to a broad range of academic researchers and students of stochastic systems.

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 : 48,9 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.

XVA

Andrew Green
XVA Book PDF

Author : Andrew Green
Publisher : John Wiley & Sons
Page : 548 pages
File Size : 52,5 Mb
Release : 2015-12-14
Category : Business & Economics
ISBN : 9781118556788

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XVA by Andrew Green Pdf

Thorough, accessible coverage of the key issues in XVA XVA – Credit, Funding and Capital Valuation Adjustments provides specialists and non-specialists alike with an up-to-date and comprehensive treatment of Credit, Debit, Funding, Capital and Margin Valuation Adjustment (CVA, DVA, FVA, KVA and MVA), including modelling frameworks as well as broader IT engineering challenges. Written by an industry expert, this book navigates you through the complexities of XVA, discussing in detail the very latest developments in valuation adjustments including the impact of regulatory capital and margin requirements arising from CCPs and bilateral initial margin. The book presents a unified approach to modelling valuation adjustments including credit risk, funding and regulatory effects. The practical implementation of XVA models using Monte Carlo techniques is also central to the book. You'll also find thorough coverage of how XVA sensitivities can be accurately measured, the technological challenges presented by XVA, the use of grid computing on CPU and GPU platforms, the management of data, and how the regulatory framework introduced under Basel III presents massive implications for the finance industry. Explores how XVA models have developed in the aftermath of the credit crisis The only text to focus on the XVA adjustments rather than the broader topic of counterparty risk. Covers regulatory change since the credit crisis including Basel III and the impact regulation has had on the pricing of derivatives. Covers the very latest valuation adjustments, KVA and MVA. The author is a regular speaker and trainer at industry events, including WBS training, Marcus Evans, ICBI, Infoline and RISK If you're a quantitative analyst, trader, banking manager, risk manager, finance and audit professional, academic or student looking to expand your knowledge of XVA, this book has you covered.

Recent Developments in Applied Probability and Statistics

Luc Devroye,Bülent Karasözen,Michael Kohler,Ralf Korn
Recent Developments in Applied Probability and Statistics Book PDF

Author : Luc Devroye,Bülent Karasözen,Michael Kohler,Ralf Korn
Publisher : Springer Science & Business Media
Page : 242 pages
File Size : 43,6 Mb
Release : 2010-05-19
Category : Mathematics
ISBN : 9783790825985

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Recent Developments in Applied Probability and Statistics by Luc Devroye,Bülent Karasözen,Michael Kohler,Ralf Korn Pdf

This book is devoted to Professor Jürgen Lehn, who passed away on September 29, 2008, at the age of 67. It contains invited papers that were presented at the Wo- shop on Recent Developments in Applied Probability and Statistics Dedicated to the Memory of Professor Jürgen Lehn, Middle East Technical University (METU), Ankara, April 23–24, 2009, which was jointly organized by the Technische Univ- sität Darmstadt (TUD) and METU. The papers present surveys on recent devel- ments in the area of applied probability and statistics. In addition, papers from the Panel Discussion: Impact of Mathematics in Science, Technology and Economics are included. Jürgen Lehn was born on the 28th of April, 1941 in Karlsruhe. From 1961 to 1968 he studied mathematics in Freiburg and Karlsruhe, and obtained a Diploma in Mathematics from the University of Karlsruhe in 1968. He obtained his Ph.D. at the University of Regensburg in 1972, and his Habilitation at the University of Karlsruhe in 1978. Later in 1978, he became a C3 level professor of Mathematical Statistics at the University of Marburg. In 1980 he was promoted to a C4 level professorship in mathematics at the TUD where he was a researcher until his death.

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 : 44,5 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 2002

Harald Niederreiter
Monte Carlo and Quasi Monte Carlo Methods 2002 Book PDF

Author : Harald Niederreiter
Publisher : Springer Science & Business Media
Page : 462 pages
File Size : 41,8 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.

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 : 51,7 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.

Uniform Distribution and Quasi-Monte Carlo Methods

Peter Kritzer,Harald Niederreiter,Friedrich Pillichshammer,Arne Winterhof
Uniform Distribution and Quasi Monte Carlo Methods Book PDF

Author : Peter Kritzer,Harald Niederreiter,Friedrich Pillichshammer,Arne Winterhof
Publisher : Walter de Gruyter GmbH & Co KG
Page : 294 pages
File Size : 45,7 Mb
Release : 2014-08-19
Category : Mathematics
ISBN : 9783110375039

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Uniform Distribution and Quasi-Monte Carlo Methods by Peter Kritzer,Harald Niederreiter,Friedrich Pillichshammer,Arne Winterhof Pdf

This book is summarizing the results of the workshop "Uniform Distribution and Quasi-Monte Carlo Methods" of the RICAM Special Semester on "Applications of Algebra and Number Theory" in October 2013. The survey articles in this book focus on number theoretic point constructions, uniform distribution theory, and quasi-Monte Carlo methods. As deterministic versions of the Monte Carlo method, quasi-Monte Carlo rules enjoy increasing popularity, with many fruitful applications in mathematical practice, as for example in finance, computer graphics, and biology. The goal of this book is to give an overview of recent developments in uniform distribution theory, quasi-Monte Carlo methods, and their applications, presented by leading experts in these vivid fields of research.

Physics Computing '92: Proceedings Of The 4th International Conference

Jaroslav Nadrchal,Robert A De Groot
Physics Computing 92 Proceedings Of The 4th International Conference Book PDF

Author : Jaroslav Nadrchal,Robert A De Groot
Publisher : World Scientific
Page : 542 pages
File Size : 48,9 Mb
Release : 1993-05-12
Category : Electronic
ISBN : 9789814553629

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Physics Computing '92: Proceedings Of The 4th International Conference by Jaroslav Nadrchal,Robert A De Groot Pdf

This meeting addresses all aspects of computational methodology with applications to most branches of physics, especially massively parallel computing, symbolic computing, Monte Carlo simulations of quantum systems, neuro-computing, fluids and plasmas, physics education, mesoscopic physics, dynamical systems, molecular dynamics, Monte Carlo techniques, etc.

Monte Carlo and Quasi-Monte Carlo Methods 2006

Alexander Keller,Stefan Heinrich,Harald Niederreiter
Monte Carlo and Quasi Monte Carlo Methods 2006 Book PDF

Author : Alexander Keller,Stefan Heinrich,Harald Niederreiter
Publisher : Springer Science & Business Media
Page : 684 pages
File Size : 54,7 Mb
Release : 2007-12-30
Category : Mathematics
ISBN : 9783540744962

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Monte Carlo and Quasi-Monte Carlo Methods 2006 by Alexander Keller,Stefan Heinrich,Harald Niederreiter Pdf

This book presents the refereed proceedings of the Seventh International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing, held in Ulm, Germany, in August 2006. The proceedings include carefully selected papers on many aspects of Monte Carlo and quasi-Monte Carlo methods and their applications. They also provide information on current research in these very active areas.