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Monte Carlo and Quasi-Monte Carlo Methods : MCQMC, Leuven, Belgium, April 2014 / edited by Ronald Cools, Dirk Nuyens

Contributor(s): Resource type: Ressourcentyp: Buch (Online)Book (Online)Language: English Series: Springer Proceedings in Mathematics & Statistics ; 163 | SpringerLink BücherPublisher: Cham : Springer, 2016Description: Online-Ressource (XVIII, 622 p. 116 illus., 57 illus. in color, online resource)ISBN:
  • 9783319335070
Subject(s): Genre/Form: Additional physical formats: 9783319335056 | Erscheint auch als: Monte Carlo and Quasi-Monte Carlo methods. Druck-Ausgabe Switzerland : Springer, 2016. xviii, 622 SeitenDDC classification:
  • 518
MSC: MSC: *65-06 | 65C05 | 65C60 | 65D30 | 60-06 | 60J22 | 60H35 | 91G60 | 00B25LOC classification:
  • QA71-90
DOI: DOI: 10.1007/978-3-319-33507-0Online resources: Summary: 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 β -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 Stochastic Lagrangian 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.Summary: 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.PPN: PPN: 1657746666Package identifier: Produktsigel: ZDB-2-SXMS | ZDB-2-SMA | ZDB-2-SEB
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