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Monte Carlo and Quasi-Monte Carlo Methods 2000

Proceedings of a Conference held at Hong Kong Baptist University, Hong Kong SAR, China, November 27 – December 1, 2000

Kai-Tai Fang, Fred J. Hickernell, Harald Niederreiter (Herausgeber)

Buch | Softcover

XXII, 548 Seiten

2002 | 1. Softcover reprint of the original 1st ed. 2002
Springer Berlin (Verlag)
978-3-540-42718-6 (ISBN)

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This volume represents the refereed proceedings of the Fourth International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing (MCQMC 2000) which was held at Hong Kong Baptist Uni versity from November 27 to December 1, 2000. The program of this con ference was arranged by a committee consisting of Kurt Binder (Univer sitat Mainz), Kai-Tai Fang (Hong Kong Baptist University, co-chair), Rus sel Caflisch (University of California at Los Angeles), George S. Fishman (University of North Carolina), Masanori Fushimi (Nanzan University), Paul Glasserman (Columbia University), Fred J. Hickernell (Hong Kong Baptist University), Pierre L'Ecuyer (Universite de Montreal), Harald Niederreiter (National University of Singapore, co-chair), Art B. Owen (Stanford Univer sity), Ian H. Sloan (University of New South Wales), Jerome Spanier (Clare mont Graduate University), Yuan Wang (Chinese Academy of Sciences), and Henryk Wozniakowski (Columbia University and University of Warsaw). The local arrangements were in the hands of an organizing committee compris ing Wai-Yan Cheng (City University of Hong Kong), Kai-Tai Fang (Hong Kong Baptist University, co-chair), Minggao Gu (Chinese University of Hong Kong), Fred J. Hickernell (Hong Kong Baptist University, co-chair) , Irwin King (Chinese University of Hong Kong), Yue-Kuen Kwok (Hong Kong Uni versity of Science and Technology), Li-Zhi Liao (Hong Kong Baptist Univer sity), and Lei-Han Tang (Hong Kong Baptist University).

Large Deviations in Rare Events Simulation: Examples, Counterexamples and Alternatives.- Some Applications of Quasi-Monte Carlo Methods in Statistics.- Some New Perspectives on the Method of Control Variates.- Optimal Summation and Integration by Deterministic, Randomized, and Quantum Algorithms.- Quasirandom Walk Methods.- Recent Advances in the Theory of Nonlinear Pseudorandom Number Generators.- QMC Integration - Beating Intractability by Weighting the Coordinate Directions.- Quasi-Monte Carlo - Discrepancy between Theory and Practice.- Efficient Monte Carlo Simulation Methods in Statistical Physics.- An Historical Overview of Lattice Point Sets.- Multicanonical Monte Carlo Simulations.- Pricing American Derivatives using Simulation: A Biased Low Approach.- Fast Evaluation of the Asian Basket Option by Singular Value Decomposition.- Relationships Between Uniformity, Aberration and Correlation in Regular Fractions 3s-1.- Uniformity in Fractional Factorials.- Another Random Scrambling of Digital (t, s)-Sequences.- Fast Generation of Randomized Low-Discrepancy Point Sets.- Obtaining O(N-2+?) Convergence for Lattice Quadrature Rules.- Efficient Bidirectional Path Tracing by Randomized Quasi-Monte Carlo Integration.- Residual Versus Error in Transport Problems.- Construction of Equidistributed Generators Based on Linear Recurrences Modulo 2.- Quasi-Regression and the Relative Importance of the ANOVA Components of a Function.- Variants of Transformed Density Rejection and Correlation Induction.- Using Discrepancy to Evaluate Fractional Factorial Designs.- A Parallel Quasi-Monte Carlo Method for Computing Extremal Eigenvalues.- A Nonempirical Test on the Weight of Pseudorandom Number Generators.- A Kronecker Product Construction for Digital Nets.- Parallel Quasi-MonteCarlo Methods on a Heterogeneous Cluster.- American Option Pricing: A Classification-Monte Carlo (CMC) Approach.- A Software Implementation of Niederreiter-Xing Sequences.- Average Case Complexity of Weighted Integration and Approximation over IRd with Isotropic Weight.- Using MCMC for Logistic Regression Model Selection Involving Large Number of Candidate Models.- Quasi-Monte Carlo Methods in Designs of Spatial Sampling Points.- Improving the Efficiency of the Two-stage Shrinkage Estimators Using Bootstrap Methods.- Tractability of Approximation and Integration for Weighted Tensor Product Problems over Unbounded Domains.- D-optimal Designs Based on Elementary Intervals for b-adic Haar Wavelet Regression Models.- On the Monte-Carlo Simulation of Several Regression Estimators in Nonlinear Time Series.

Erscheint lt. Verlag	22.1.2002
Zusatzinfo	XXII, 548 p. 5 illus.
Verlagsort	Berlin
Sprache	englisch
Maße	155 x 235 mm
Gewicht	803 g
Themenwelt	Mathematik / Informatik ► Mathematik ► Arithmetik / Zahlentheorie
Themenwelt	Mathematik / Informatik ► Mathematik ► Wahrscheinlichkeit / Kombinatorik
Schlagworte	Erzeugung von Zufallszahlen • Monte-Carlo Methoden • Monte Carlo methods • Numerical Integration • Numerische Integration • Quasi-Monte-Carlo-Methoden • Quasi-Monte-Carlo methods • random number generation • Scientific Computing • simulation methods • Simulationsmethoden
ISBN-10	3-540-42718-X / 354042718X
ISBN-13	978-3-540-42718-6 / 9783540427186
Zustand	Neuware