Ebook: Monte Carlo and Quasi-Monte Carlo Methods 2000: Proceedings of a Conference held at Hong Kong Baptist University, Hong Kong SAR, China, November 27 – December 1, 2000

This book represents the refereed proceedings of the Fourth International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing which was held at Hong Kong Baptist University in 2000. An important feature are invited surveys of the state-of-the-art in key areas such as multidimensional numerical integration, low-discrepancy point sets, random number generation, and applications of Monte Carlo and quasi-Monte Carlo methods. These proceedings include also carefully selected contributed papers on all aspects of Monte Carlo and quasi-Monte Carlo methods. The reader will be informed about current research in this very active field.

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This book represents the refereed proceedings of the Fourth International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing which was held at Hong Kong Baptist University in 2000. An important feature are invited surveys of the state-of-the-art in key areas such as multidimensional numerical integration, low-discrepancy point sets, random number generation, and applications of Monte Carlo and quasi-Monte Carlo methods. These proceedings include also carefully selected contributed papers on all aspects of Monte Carlo and quasi-Monte Carlo methods. The reader will be informed about current research in this very active field.
Content:
Front Matter....Pages I-XXII
Large Deviations in Rare Events Simulation: Examples, Counterexamples and Alternatives....Pages 1-9
Some Applications of Quasi-Monte Carlo Methods in Statistics....Pages 10-26
Some New Perspectives on the Method of Control Variates....Pages 27-49
Optimal Summation and Integration by Deterministic, Randomized, and Quantum Algorithms....Pages 50-62
Quasirandom Walk Methods....Pages 63-85
Recent Advances in the Theory of Nonlinear Pseudorandom Number Generators....Pages 86-102
QMC Integration — Beating Intractability by Weighting the Coordinate Directions....Pages 103-123
Quasi-Monte Carlo — Discrepancy between Theory and Practice....Pages 124-140
Efficient Monte Carlo Simulation Methods in Statistical Physics....Pages 141-157
An Historical Overview of Lattice Point Sets....Pages 158-167
Multicanonical Monte Carlo Simulations....Pages 168-180
Pricing American Derivatives using Simulation: A Biased Low Approach....Pages 181-200
Fast Evaluation of the Asian Basket Option by Singular Value Decomposition....Pages 201-214
Uniformity in Fractional Factorials....Pages 215-231
Another Random Scrambling of Digital (t,s)-Sequences....Pages 232-241
Fast Generation of Randomized Low-Discrepancy Point Sets....Pages 242-256
Efficient Bidirectional Path Tracing by Randomized Quasi-Monte Carlo Integration....Pages 257-273
Residual Versus Error in Transport Problems....Pages 274-289
Construction of Equidistributed Generators Based on Linear Recurrences Modulo 2....Pages 290-305
Quasi-Regression and the Relative Importance of the ANOVA Components of a Function....Pages 306-317
Variants of Transformed Density Rejection and Correlation Induction....Pages 318-330
Using Discrepancy to Evaluate Fractional Factorial Designs....Pages 331-344
A Parallel Quasi-Monte Carlo Method for Computing Extremal Eigenvalues....Pages 345-356
A Nonempirical Test on the Weight of Pseudorandom Number Generators....Pages 357-368
A Kronecker Product Construction for Digital Nets....Pages 369-380
Parallel Quasi-Monte Carlo Methods on a Heterogeneous Cluster....Pages 381-395
American Option Pricing: A Classification — Monte Carlo (CMC) Approach....Pages 396-405
A Software Implementation of Niederreiter-Xing Sequences....Pages 406-421
Average Case Complexity of Weighted Integration and Approximation over IRd with Isotropic Weight....Pages 422-433
Using MCMC for Logistic Regression Model Selection Involving Large Number of Candidate Models....Pages 434-445
Quasi-Monte Carlo Methods in Designs of Spatial Sampling Points....Pages 446-459
Improving the Efficiency of the Two-stage Shrinkage Estimators Using Bootstrap Methods....Pages 460-474
Tractability of Approximation and Integration for Weighted Tensor Product Problems over Unbounded Domains....Pages 475-486
On the Monte-Carlo Simulation of Several Regression Estimators in Nonlinear Time Series....Pages 487-496
....Pages 497-522