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Monte Carlo and Quasi-Monte Carlo Methods -

Monte Carlo and Quasi-Monte Carlo Methods

MCQMC, Leuven, Belgium, April 2014

Ronald Cools, Dirk Nuyens (Herausgeber)

Buch | Softcover
XVIII, 622 Seiten
2018 | 1. Softcover reprint of the original 1st ed. 2016
Springer International Publishing (Verlag)
978-3-319-81531-2 (ISBN)
CHF 224,65 inkl. MwSt
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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.

Part I Invited papers.- Multilevel Monte Carlo Implementation for SDEs driven by Truncated Stable Processes.- Construction of a Mean Square Error Adaptive Euler-Maruyama Method With Applications in Multilevel Monte Carlo.- Vandermonde Nets and Vandermonde Sequences.- Path Space Markov Chain Monte Carlo Methods in Computer Graphics.- Walsh Figure of Merit for Digital Nets: An Easy Measure for Higher Order Convergent QMC.- Some Results on the Complexity of Numerical Integration.- Approximate Bayesian Computation: A Survey on Recent Results.- Part II Contributed papers.- Multilevel Monte Carlo Simulation of Statistical Solutions to the Navier-Stokes Equations.- Unbiased Simulation of Distributions with Explicitly Known Integral Transforms.- Central Limit Theorem for Adaptive Multilevel Splitting Estimators in an Idealized Setting.- Comparison between LS-Sequences and beta -adic van der Corput Sequences.- Computational Higher Order Quasi-Monte Carlo Integration.- Numerical Computation of Multivariate Normal Probabilities using Bivariate Conditioning.- Non-nested Adaptive Timesteps in Multilevel Monte Carlo Computations.- On ANOVA Decompositions of Kernels and Gaussian Random Field Paths.- The Mean Square Quasi-Monte Carlo Error for Digitally Shifted Digital Nets.- Uncertainty and Robustness in Weather Derivative Models.- Reliable Adaptive Cubature Using Digital Sequences.- Optimal Point Sets for Quasi-Monte Carlo Integration of Bivariate Periodic Functions with Bounded Mixed Derivatives.- Adaptive Multidimensional Integration Based on Rank-1 Lattices.- Path Space Filtering.- Tractability of Multivariate Integration in Hybrid Function Spaces.- Derivative-based Global Sensitivity Measures and Their Link with Sobol' Sensitivity Indices.- Bernstein Numbers and Lower Bounds for the Monte Carlo Error.- A Note on the Importance of Weak Convergence Rates for SPDE Approximations in Multilevel Monte Carlo Schemes.- A Strategy for Parallel Implementations of StochasticLagrangian Simulation.- A New Rejection Sampling Method for Truncated Multivariate Gaussian Random Variables Restricted to Convex Sets.- Van der Corput and Golden Ratio Sequences Along the Hilbert Space-Filling Curve.- Uniform Weak Tractability of Weighted Integration.- Incremental Greedy Algorithm and Its Applications in Numerical Integration.- On "Upper Error Bounds for Quadrature Formulas on Function Classes" by K K Frolov.- Tractability of Function Approximation With Product Kernels.- Discrepancy Estimates for Acceptance-Rejection Samplers Using Stratified Inputs.- List of Participants.- Index.

Erscheinungsdatum
Reihe/Serie Springer Proceedings in Mathematics & Statistics
Zusatzinfo XVIII, 622 p. 116 illus., 57 illus. in color.
Verlagsort Cham
Sprache englisch
Maße 155 x 235 mm
Gewicht 9533 g
Themenwelt Mathematik / Informatik Mathematik Analysis
Mathematik / Informatik Mathematik Angewandte Mathematik
Mathematik / Informatik Mathematik Wahrscheinlichkeit / Kombinatorik
Schlagworte Low-discrepancy • Markov Chain Monte Carlo • Monte Carlo • Multilevel Monte Carlo • quasi-Monte Carlo
ISBN-10 3-319-81531-8 / 3319815318
ISBN-13 978-3-319-81531-2 / 9783319815312
Zustand Neuware
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