Monte Carlo And Quasi Monte Carlo Methods 2000

Author : Christiane Lemieux
Publisher : Springer Science & Business Media
ISBN 13 : 038778165X
Total Pages : 373 pages
Book Rating : 4.55/5 ( download)

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Download or read book Monte Carlo and Quasi-Monte Carlo Sampling written by Christiane Lemieux and published by Springer Science & Business Media. This book was released on 2009-04-03 with total page 373 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Author : Harald Niederreiter
Publisher : SIAM
ISBN 13 : 0898712955
Total Pages : 243 pages
Book Rating : 4.57/5 ( download)

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Download or read book Random Number Generation and Quasi-Monte Carlo Methods written by Harald Niederreiter and published by SIAM. This book was released on 1992-01-01 with total page 243 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume contains recent work in uniform pseudorandom number generation and quasi-Monte Carlo methods, and stresses the interplay between them.

Author : Kai-Tai Fang
Publisher : Springer Science & Business Media
ISBN 13 : 3642560466
Total Pages : 570 pages
Book Rating : 4.60/5 ( download)

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Download or read book Monte Carlo and Quasi-Monte Carlo Methods 2000 written by Kai-Tai Fang and published by Springer Science & Business Media. This book was released on 2011-06-28 with total page 570 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book represents the refereed proceedings of the Fourth International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing which was held at Hong Kong Baptist University in 2000. 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 field.

Author : Moshe Dror
Publisher : Springer Science & Business Media
ISBN 13 : 9780792374633
Total Pages : 810 pages
Book Rating : 4.30/5 ( download)

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Download or read book Modeling Uncertainty written by Moshe Dror and published by Springer Science & Business Media. This book was released on 2002-01-31 with total page 810 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Author : Harald Niederreiter
Publisher : Springer
ISBN 13 :
Total Pages : 490 pages
Book Rating : 4.17/5 ( download)

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Download or read book Monte-Carlo and Quasi-Monte Carlo Methods 1998 written by Harald Niederreiter and published by Springer. This book was released on 2000 with total page 490 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Author : Leszek Plaskota
Publisher : Springer Science & Business Media
ISBN 13 : 3642274404
Total Pages : 721 pages
Book Rating : 4.04/5 ( download)

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Download or read book Monte Carlo and Quasi-Monte Carlo Methods 2010 written by Leszek Plaskota and published by Springer Science & Business Media. This book was released on 2012-08-23 with total page 721 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book represents the refereed proceedings of the Ninth International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing that was held at the University of Warsaw (Poland) in August 2010. 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 and statistics.

Author : Harald Niederreiter
Publisher : Springer Science & Business Media
ISBN 13 : 3642187439
Total Pages : 462 pages
Book Rating : 4.38/5 ( download)

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Download or read book Monte Carlo and Quasi-Monte Carlo Methods 2002 written by Harald Niederreiter and published by Springer Science & Business Media. This book was released on 2011-06-28 with total page 462 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 : Harald Niederreiter
Publisher : Springer Science & Business Media
ISBN 13 : 1461216907
Total Pages : 463 pages
Book Rating : 4.02/5 ( download)

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Download or read book Monte Carlo and Quasi-Monte Carlo Methods 1996 written by Harald Niederreiter and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 463 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Author : Gunther Leobacher
Publisher : Springer
ISBN 13 : 3319034251
Total Pages : 206 pages
Book Rating : 4.56/5 ( download)

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Download or read book Introduction to Quasi-Monte Carlo Integration and Applications written by Gunther Leobacher and published by Springer. This book was released on 2014-09-12 with total page 206 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Author : Pierre L' Ecuyer
Publisher : Springer Science & Business Media
ISBN 13 : 3642041078
Total Pages : 669 pages
Book Rating : 4.75/5 ( download)

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Download or read book Monte Carlo and Quasi-Monte Carlo Methods 2008 written by Pierre L' Ecuyer and published by Springer Science & Business Media. This book was released on 2010-01-14 with total page 669 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book represents the refereed proceedings of the Eighth International Conference on Monte Carlo (MC)and Quasi-Monte Carlo (QMC) Methods in Scientific Computing, held in Montreal (Canada) in July 2008. It covers the latest theoretical developments as well as important applications of these methods in different areas. It contains two tutorials, eight invited articles, and 32 carefully selected articles based on the 135 contributed presentations made at the conference. This conference is a major event in Monte Carlo methods and is the premiere event for quasi-Monte Carlo and its combination with Monte Carlo. This series of proceedings volumes is the primary outlet for quasi-Monte Carlo research.