Monte Carlo and Quasi-Monte Carlo Methods 2006 (eBook)

Alexander Keller, Stefan Heinrich, Harald Niederreiter (Herausgeber)

eBook Download: PDF

2007 | 2008
X, 698 Seiten
Springer Berlin (Verlag)
978-3-540-74496-2 (ISBN)

Infos

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.

Inhalt

Invited Articles.- A Belgian View on Lattice Rules.- MCQMC Algorithms for Solving some Classes of Equations.- MCQMC Methods for Multivariate Statistical Distributions.- Minimal Errors for Strong and Weak Approximation of Stochastic Differential Equations.- Nets, (t, s)-Sequences, and Codes.- Quadratic Optimal Functional Quantization of Stochastic Processes and Numerical Applications.- Random Field Simulation and Applications.- Monte Carlo and Quasi-Monte Carlo Methods for Computer Graphics.- Contributed Articles.- Random Walk Algorithm for Estimating the Derivatives of Solution to the Elliptic BVP.- Free-Knot Spline Approximation of Fractional Brownian Motion.- Simulation on Rank-1 Lattices.- Image Synthesis by Rank-1 Lattices.- Continuous Runge-Kutta Methods for Stratonovich Stochastic Differential Equations.- Issues on Computer Search for Large Order Multiple Recursive Generators.- Design and Implementation of Efficient and Portable Multiple Recursive Generators with Few Zero Coefficients.- Approximation of Functions Using Digital Nets.- Construction of Low-Discrepancy Point Sets of Small Size by Bracketing Covers and Dependent Randomized Rounding.- A Coding Theoretic Approach to Building Nets with Well-Equidistributed Projections.- Improvements on Low Discrepancy One-Dimensional Sequences and Two-Dimensional Point Sets.- Improved Multilevel Monte Carlo Convergence using the Milstein Scheme.- Generalized Tractability for Linear Functionals.- An Improved Implementation of Stochastic Particle Methods and Applications to Coagulation Equations.- (t, m, s)-Nets and Maximized Minimum Distance.- Quasi-Monte Carlo Simulation of Discrete-Time Markov Chains on Multidimensional State Spaces.- Computational Engine for a Virtual Tissue Simulator.- Randomized Approximation of Sobolev Embeddings.- Tractability of Linear Multivariate Problems in the Average Case Setting.- Zinterhof Sequences in GRID-Based Numerical Integration.- A Pragmatic View on Numerical Integration of Unbounded Functions.- Assessment of Genetic Association using Haplotypes Inferred with Uncertainty via Markov Chain Monte Carlo.- The Generalized Gibbs Sampler and the Neighborhood Sampler.- The Weighted Dyadic Diaphony of Digital Sequences.- A New Criterion for Finiteness of Weight Estimator Variance in Statistical Simulation.- Optimal Pointwise Approximation of a Linear Stochastic Heat Equation with Additive Space-Time White Noise.- Unbiased Global Illumination with Participating Media.- SIMD-Oriented Fast Mersenne Twister: a 128-bit Pseudorandom Number Generator.- A New Lower Bound on the t-Parameter of (t, s)-Sequences.- Walk-on-Spheres Algorithm for Solving Boundary-Value Problems with Continuity Flux Conditions.- Good Lattice Rules with a Composite Number of Points Based on the Product Weighted Star Discrepancy.- Ergodic Simulations for Diffusion in Random Velocity Fields.- Efficient Simultaneous Simulation of Markov Chains.

Produkt-Details

• Erscheint lt. Verlag: 30.12.2007
• Zusatzinfo: X, 698 p. 119 illus.
• Verlagsort: Berlin
• Sprache: englisch
• Themenwelt: Mathematik / Informatik ► Mathematik ► Statistik
• Themenwelt: Mathematik / Informatik ► Mathematik ► Wahrscheinlichkeit / Kombinatorik
• Themenwelt: Naturwissenschaften ► Physik / Astronomie
• Themenwelt: Technik
• Schlagworte: Computer Graphics • Excel • mathematical finance • Monte Carlo methods • Partial differential equations • Quantitative Finance • quasi-Monte Carlo methods • Scientific Computing • simulation methods
• ISBN-10: 3-540-74496-7 / 3540744967
• ISBN-13: 978-3-540-74496-2 / 9783540744962