Ebook: Monte Carlo and Quasi-Monte Carlo Methods 2006
Author: Ronald Cools Dirk Nuyens (auth.) Alexander Keller Stefan Heinrich Harald Niederreiter (eds.)
- Tags: Partial Differential Equations, Quantitative Finance, Appl.Mathematics/Computational Methods of Engineering, Numerical Analysis, Theoretical Mathematical and Computational Physics
- Year: 2008
- Publisher: Springer-Verlag Berlin Heidelberg
- Edition: 1
- Language: English
- pdf
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.
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.
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.
Content:
Front Matter....Pages I-X
A Belgian View on Lattice Rules....Pages 3-21
MCQMC Algorithms for Solving some Classes of Equations....Pages 23-33
MCQMC Methods for Multivariate Statistical Distributions....Pages 35-52
Minimal Errors for Strong and Weak Approximation of Stochastic Differential Equations....Pages 53-82
Nets, (t, s)-Sequences, and Codes....Pages 83-100
Quadratic Optimal Functional Quantization of Stochastic Processes and Numerical Applications....Pages 101-142
Random Field Simulation and Applications....Pages 143-165
Monte Carlo and Quasi-Monte Carlo Methods for Computer Graphics....Pages 167-177
Random Walk Algorithm for Estimating the Derivatives of Solution to the Elliptic BVP....Pages 181-194
Free-Knot Spline Approximation of Fractional Brownian Motion....Pages 195-204
Simulation on Rank-1 Lattices....Pages 205-216
Image Synthesis by Rank-1 Lattices....Pages 217-236
Continuous Runge-Kutta Methods for Stratonovich Stochastic Differential Equations....Pages 237-250
Issues on Computer Search for Large Order Multiple Recursive Generators....Pages 251-261
Design and Implementation of Efficient and Portable Multiple Recursive Generators with Few Zero Coefficients....Pages 263-273
Approximation of Functions Using Digital Nets....Pages 275-297
Construction of Low-Discrepancy Point Sets of Small Size by Bracketing Covers and Dependent Randomized Rounding....Pages 299-312
A Coding Theoretic Approach to Building Nets with Well-Equidistributed Projections....Pages 313-325
Improvements on Low Discrepancy One-Dimensional Sequences and Two-Dimensional Point Sets....Pages 327-341
Improved Multilevel Monte Carlo Convergence using the Milstein Scheme....Pages 343-358
Generalized Tractability for Linear Functionals....Pages 359-381
An Improved Implementation of Stochastic Particle Methods and Applications to Coagulation Equations....Pages 383-395
(t, m, s)-Nets and Maximized Minimum Distance....Pages 397-412
Quasi-Monte Carlo Simulation of Discrete-Time Markov Chains on Multidimensional State Spaces....Pages 413-429
Computational Engine for a Virtual Tissue Simulator....Pages 431-443
Randomized Approximation of Sobolev Embeddings....Pages 445-459
Tractability of Linear Multivariate Problems in the Average Case Setting....Pages 461-493
Zinterhof Sequences in GRID-Based Numerical Integration....Pages 495-510
A Pragmatic View on Numerical Integration of Unbounded Functions....Pages 511-528
Assessment of Genetic Association using Haplotypes Inferred with Uncertainty via Markov Chain Monte Carlo....Pages 529-535
The Generalized Gibbs Sampler and the Neighborhood Sampler....Pages 537-547
The Weighted Dyadic Diaphony of Digital Sequences....Pages 549-560
A New Criterion for Finiteness of Weight Estimator Variance in Statistical Simulation....Pages 561-576
Optimal Pointwise Approximation of a Linear Stochastic Heat Equation with Additive Space-Time White Noise....Pages 577-589
Unbiased Global Illumination with Participating Media....Pages 591-605
SIMD-Oriented Fast Mersenne Twister: a 128-bit Pseudorandom Number Generator....Pages 607-622
A New Lower Bound on the t-Parameter of (t, s)-Sequences....Pages 623-632
Walk-on-Spheres Algorithm for Solving Boundary-Value Problems with Continuity Flux Conditions....Pages 633-643
Good Lattice Rules with a Composite Number of Points Based on the Product Weighted Star Discrepancy....Pages 645-658
Ergodic Simulations for Diffusion in Random Velocity Fields....Pages 659-668
Back Matter....Pages 685-698
Efficient Simultaneous Simulation of Markov Chains....Pages 669-684
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.
Content:
Front Matter....Pages I-X
A Belgian View on Lattice Rules....Pages 3-21
MCQMC Algorithms for Solving some Classes of Equations....Pages 23-33
MCQMC Methods for Multivariate Statistical Distributions....Pages 35-52
Minimal Errors for Strong and Weak Approximation of Stochastic Differential Equations....Pages 53-82
Nets, (t, s)-Sequences, and Codes....Pages 83-100
Quadratic Optimal Functional Quantization of Stochastic Processes and Numerical Applications....Pages 101-142
Random Field Simulation and Applications....Pages 143-165
Monte Carlo and Quasi-Monte Carlo Methods for Computer Graphics....Pages 167-177
Random Walk Algorithm for Estimating the Derivatives of Solution to the Elliptic BVP....Pages 181-194
Free-Knot Spline Approximation of Fractional Brownian Motion....Pages 195-204
Simulation on Rank-1 Lattices....Pages 205-216
Image Synthesis by Rank-1 Lattices....Pages 217-236
Continuous Runge-Kutta Methods for Stratonovich Stochastic Differential Equations....Pages 237-250
Issues on Computer Search for Large Order Multiple Recursive Generators....Pages 251-261
Design and Implementation of Efficient and Portable Multiple Recursive Generators with Few Zero Coefficients....Pages 263-273
Approximation of Functions Using Digital Nets....Pages 275-297
Construction of Low-Discrepancy Point Sets of Small Size by Bracketing Covers and Dependent Randomized Rounding....Pages 299-312
A Coding Theoretic Approach to Building Nets with Well-Equidistributed Projections....Pages 313-325
Improvements on Low Discrepancy One-Dimensional Sequences and Two-Dimensional Point Sets....Pages 327-341
Improved Multilevel Monte Carlo Convergence using the Milstein Scheme....Pages 343-358
Generalized Tractability for Linear Functionals....Pages 359-381
An Improved Implementation of Stochastic Particle Methods and Applications to Coagulation Equations....Pages 383-395
(t, m, s)-Nets and Maximized Minimum Distance....Pages 397-412
Quasi-Monte Carlo Simulation of Discrete-Time Markov Chains on Multidimensional State Spaces....Pages 413-429
Computational Engine for a Virtual Tissue Simulator....Pages 431-443
Randomized Approximation of Sobolev Embeddings....Pages 445-459
Tractability of Linear Multivariate Problems in the Average Case Setting....Pages 461-493
Zinterhof Sequences in GRID-Based Numerical Integration....Pages 495-510
A Pragmatic View on Numerical Integration of Unbounded Functions....Pages 511-528
Assessment of Genetic Association using Haplotypes Inferred with Uncertainty via Markov Chain Monte Carlo....Pages 529-535
The Generalized Gibbs Sampler and the Neighborhood Sampler....Pages 537-547
The Weighted Dyadic Diaphony of Digital Sequences....Pages 549-560
A New Criterion for Finiteness of Weight Estimator Variance in Statistical Simulation....Pages 561-576
Optimal Pointwise Approximation of a Linear Stochastic Heat Equation with Additive Space-Time White Noise....Pages 577-589
Unbiased Global Illumination with Participating Media....Pages 591-605
SIMD-Oriented Fast Mersenne Twister: a 128-bit Pseudorandom Number Generator....Pages 607-622
A New Lower Bound on the t-Parameter of (t, s)-Sequences....Pages 623-632
Walk-on-Spheres Algorithm for Solving Boundary-Value Problems with Continuity Flux Conditions....Pages 633-643
Good Lattice Rules with a Composite Number of Points Based on the Product Weighted Star Discrepancy....Pages 645-658
Ergodic Simulations for Diffusion in Random Velocity Fields....Pages 659-668
Back Matter....Pages 685-698
Efficient Simultaneous Simulation of Markov Chains....Pages 669-684
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