| Description |
1 online resource (680 pages) : illustrations |
| Series |
Springer proceedings in mathematics and statistics, 2194-1009 ; volume 65 |
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Springer proceedings in mathematics & statistics ; v. 65
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| 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 |
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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 |
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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 |
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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 |
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Part I: Invited Articles -- Part II: Tutorial -- Part III: Contributed Articles -- Conference Participants -- Index |
| 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 |
| Bibliography |
Includes bibliographical references and index |
| Notes |
Online resource; title from PDF title page (ebrary, viewed January 9, 2014) |
| In |
Springer eBooks |
| Subject |
Monte Carlo method.
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Computer graphics
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Computer science -- Mathematics.
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Mathematical statistics.
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Monte Carlo Method
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Computer Graphics
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computer graphics.
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MATHEMATICS -- Numerical Analysis.
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Método de Monte Carlo
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Matemáticas discretas
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Estadística matemática
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Gráficos por ordenador
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Computer graphics
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Computer science -- Mathematics
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Mathematical statistics
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Monte Carlo method
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| Form |
Electronic book
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| Author |
Dick, J. (Josef)
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| ISBN |
9783642410956 |
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3642410952 |
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3642410944 |
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9783642410949 |
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