Monte-Carlo and Quasi-Monte Carlo Methods 1998

by Niederreiter, Harald; Spanier, Jerome

• ISBN13: 9783540661764
• ISBN10: 354066176X
• Format: Paperback
• Copyright: 1999-11-01
• Publisher: Springer Verlag

Summary

Proceedings of a Conference held at the Claremont Graduate University in Claremont, California, June 22-26, 1998. Softcover.

Table of Contents

Preface
Conference Participants
Adaptively Learning an Importance Function Using Transport Constrained Monte Carlo	p. 1
What Affects the Accuracy of Quasi-Monte Carlo Quadrature?	p. 16
Dynamic Creation of Pseudorandom Number Generators	p. 56
Constructions of (t, m, s)-Nets	p. 70
Monte Carlo, Quasi-Monte Carlo, and Randomized Quasi-Monte Carlo	p. 86
Geometrically Convergent Learning Algorithms for Global Solutions of Transport Problems	p. 98
Efficiency of Quasi-Monte Carlo Algorithms for High Dimensional Integrals	p. 114
Domain Decomposition Methods for Parallel Laser-Tissue Models with Monte Carlo Transport	p. 137
Pricing Complex Barrier Options with General Features Using Sharp Large Deviation Estimates	p. 149
Application of Quasi-Monte Carlo Sampling to the Multi Path Method for Radiosity	p. 163
Semi-Monte Carlo Light Tracing Applied to the Study of Road Visibility in Fog	p. 177
Quasi-Monte Carlo Node Sets from Linear Congruential Generators	p. 188
Methods for Generating Random Orthogonal Matrices	p. 199
Comparison of Monte Carlo Algorithms for Obtaining Geometric Convergence for Model Transport Problems	p. 214
Wavelet Monte Carlo Methods for the Global Solution of Integral Equations	p. 227
Sequential Correlated Sampling Methods for Some Transport Problems	p. 238
Error Analysis of Sequential Monte Carlo Methods for Transport Problems	p. 252
Adaptive Importance Sampling Algorithms for Transport Problems	p. 273
Applications of Monte Carlo/Quasi-Monte Carlo Methods in Finance: Option Pricing	p. 284
A Discrepancy-Based Analysis of Figures of Merit for Lattice Rules	p. 296
Grid-Free Simulation of Convection-Diffusion	p. 311
A Comparison of Monte Carlo, Lattice Rules and Other Low-Discrepancy Point Sets	p. 326
Higher-Dimensional Properties of Non-Uniform Pseudo-Random Variates	p. 341
Quasi-Monte Carlo Simulation Methods for Measurement Uncertainty	p. 356
Linear Programming Bounds for Ordered Orthogonal Arrays and (T, M, S)-Nets	p. 368
A Practical Approach to the Error Estimation of Quasi-Monte Carlo Integrations	p. 377
Applications of a Hybrid-Monte Carlo Sequence to Option Pricing	p. 391
Monte Carlo Simulation of Photometrical Measurements in Fog	p. 407
Variance Reduction Techniques for Large Scale Risk Management	p. 419
Improvements and Extensions of the "Salzburg Tables" by Using Irreducible Polynomials	p. 436
A LeVeque-Type Lower Bound for Discrepancy	p. 448
The Diaphony and the Star-Diaphony of Some Two-Dimensional Sequences	p. 459
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