Monte Carlo and Quasi-monte Carlo Methods 2006

by Keller, Alexander; Heinrich, Stefan; Niederreiter, Harald

• ISBN13: 9783540744955
• ISBN10: 3540744959
• Format: Paperback
• Copyright: 2008-03-30
• Publisher: Springer Verlag

Summary

This book represents 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, as well as providing information on current research in these very active areas. Besides covering theory, the book is an excellent resource work for practitioners as well.

Table of Contents

Invited Articles
A Belgian View on Lattice Rules	p. 3
MCQMC Algorithms for Solving some Classes of Equations	p. 23
MCQMC Methods for Multivariate Statistical Distributions	p. 35
Minimal Errors for Strong and Weak Approximation of Stochastic Differential Equations	p. 53
Nets, (t,s)-Sequences, and Codes	p. 83
Quadratic Optimal Functional Quantizationof Stochastic Processes and Numerical Applications	p. 101
Random Field Simulation and Applications	p. 143
Monte Carlo and Quasi-Monte Carlo Methods for Computer Graphics	p. 167
Contributed Articles
Random Walk Algorithm for Estimating the Derivatives of Solution to the Elliptic BVP	p. 181
Free-Knot Spline Approximation of Fractional Brownian Motion	p. 195
Simulation on Rank-1 Lattices	p. 205
Image Synthesis by Rank-1 Lattices	p. 217
Continuous Runge-Kutta Methods for Stratonovich Stochastic Differential Equations	p. 237
Issues on Computer Search for Large Order Multiple Recursive Generators	p. 251
Design and Implementation of Efficient and Portable Multiple Recursive Generators with Few Zero Coefficients	p. 263
Approximation of Functions Using Digital Nets	p. 275
Construction of Low-Discrepancy Point Sets of Small Size by Bracketing Covers and Dependent Randomized Rounding	p. 299
A Coding Theoretic Approach to Building Nets with Well-Equidistributed Projections	p. 313
Improvements on Low Discrepancy One-Dimensional Sequences and Two-Dimensional Point Sets	p. 327
Improved Multilevel Monte Carlo Convergence using the Milstein Scheme	p. 343
Generalized Tractability for Linear Functionals	p. 359
An Improved Implementation of Stochastic Particle Methods and Applications to Coagulation Equations	p. 383
(t, m, s)-Nets and Maximized Minimum Distance	p. 397
Quasi-Monte Carlo Simulation of Discrete-Time Markov Chains on Multidimensional State Spaces	p. 413
Computational Engine for a Virtual Tissue Simulator	p. 431
Randomized Approximation of Sobolev Embeddings	p. 445
Tractability of Linear Multivariate Problems in the Average Case Setting	p. 461
Zinterhof Sequences in GRID-Based Numerical Integration	p. 495
A Pragmatic View on Numerical Integration of Unbounded Functions	p. 511
Assessment of Genetic Association using Haplotypes Inferred with Uncertainty via Markov Chain Monte Carlo	p. 529
The Generalized Gibbs Sampler and the Neighborhood Sampler	p. 537
The Weighted Dyadic Diaphony of Digital Sequences	p. 549
A New Criterion for Finiteness of Weight Estimator Variance in Statistical Simulation	p. 561
Optimal Pointwise Approximation of a Linear Stochastic Heat Equation with Additive Space-Time White Noise	p. 577
Unbiased Global Illumination with Participating Media	p. 591
SIMD-Oriented Fast Mersenne Twister: a 128-bit Pseudorandom Number Generator	p. 607
A New Lower Bound on the t-Parameter of (t, s)-Sequences	p. 623
Walk-on-Spheres Algorithm for Solving Boundary-Value Problems with Continuity Flux Conditions	p. 633
Good Lattice Rules with a Composite Number of Points Based on the Product Weighted Star Discrepancy	p. 645
Ergodic Simulations for Diffusion in Random Velocity Fields	p. 659
Efficient Simultaneous Simulation of Markov Chains	p. 669
Appendix
Conference Participants	p. 687
Author Index	p. 697
Table of Contents provided by Publisher. All Rights Reserved.