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Author: Harald Niederreiter
Publisher: Springer Science & Business Media
ISBN: 1461216907
Category : Mathematics
Languages : en
Pages : 463
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Book Description
Monte Carlo methods are numerical methods based on random sampling and quasi-Monte Carlo methods are their deterministic versions. This volume contains the refereed proceedings of the Second International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing which was held at the University of Salzburg (Austria) from July 9--12, 1996. The conference was a forum for recent progress in the theory and the applications of these methods. The topics covered in this volume range from theoretical issues in Monte Carlo and simulation methods, low-discrepancy point sets and sequences, lattice rules, and pseudorandom number generation to applications such as numerical integration, numerical linear algebra, integral equations, binary search, global optimization, computational physics, mathematical finance, and computer graphics. These proceedings will be of interest to graduate students and researchers in Monte Carlo and quasi-Monte Carlo methods, to numerical analysts, and to practitioners of simulation methods.
Author: Harald Niederreiter
Publisher: Springer Science & Business Media
ISBN: 1461216907
Category : Mathematics
Languages : en
Pages : 463
Get Book Here
Book Description
Monte Carlo methods are numerical methods based on random sampling and quasi-Monte Carlo methods are their deterministic versions. This volume contains the refereed proceedings of the Second International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing which was held at the University of Salzburg (Austria) from July 9--12, 1996. The conference was a forum for recent progress in the theory and the applications of these methods. The topics covered in this volume range from theoretical issues in Monte Carlo and simulation methods, low-discrepancy point sets and sequences, lattice rules, and pseudorandom number generation to applications such as numerical integration, numerical linear algebra, integral equations, binary search, global optimization, computational physics, mathematical finance, and computer graphics. These proceedings will be of interest to graduate students and researchers in Monte Carlo and quasi-Monte Carlo methods, to numerical analysts, and to practitioners of simulation methods.
Author: Harald Niederreiter
Publisher: Springer Science & Business Media
ISBN: 9780387983356
Category : Business & Economics
Languages : en
Pages : 468
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Book Description
Monte Carlo methods are numerical methods based on random sampling and quasi-Monte Carlo methods are their deterministic versions. This volume contains the refereed proceedings of the Second International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing which was held at the University of Salzburg (Austria) from July 9--12, 1996. The conference was a forum for recent progress in the theory and the applications of these methods. The topics covered in this volume range from theoretical issues in Monte Carlo and simulation methods, low-discrepancy point sets and sequences, lattice rules, and pseudorandom number generation to applications such as numerical integration, numerical linear algebra, integral equations, binary search, global optimization, computational physics, mathematical finance, and computer graphics. These proceedings will be of interest to graduate students and researchers in Monte Carlo and quasi-Monte Carlo methods, to numerical analysts, and to practitioners of simulation methods.
Author: Ronald Cools
Publisher: Springer
ISBN: 3319335073
Category : Mathematics
Languages : en
Pages : 624
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Book Description
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.
Author: Harald Niederreiter
Publisher: Springer
ISBN: 3319223216
Category : Mathematics
Languages : en
Pages : 452
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Book Description
This textbook effectively builds a bridge from basic number theory to recent advances in applied number theory. It presents the first unified account of the four major areas of application where number theory plays a fundamental role, namely cryptography, coding theory, quasi-Monte Carlo methods, and pseudorandom number generation, allowing the authors to delineate the manifold links and interrelations between these areas. Number theory, which Carl-Friedrich Gauss famously dubbed the queen of mathematics, has always been considered a very beautiful field of mathematics, producing lovely results and elegant proofs. While only very few real-life applications were known in the past, today number theory can be found in everyday life: in supermarket bar code scanners, in our cars’ GPS systems, in online banking, etc. Starting with a brief introductory course on number theory in Chapter 1, which makes the book more accessible for undergraduates, the authors describe the four main application areas in Chapters 2-5 and offer a glimpse of advanced results that are presented without proofs and require more advanced mathematical skills. In the last chapter they review several further applications of number theory, ranging from check-digit systems to quantum computation and the organization of raster-graphics memory. Upper-level undergraduates, graduates and researchers in the field of number theory will find this book to be a valuable resource.
Author: Alexander Keller
Publisher: Springer Nature
ISBN: 3030983196
Category : Mathematics
Languages : en
Pages : 315
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Book Description
This volume presents the revised papers of the 14th International Conference in Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing, MCQMC 2020, which took place online during August 10-14, 2020. This book is an excellent reference resource for theoreticians and practitioners interested in solving high-dimensional computational problems, arising, in particular, in statistics, machine learning, finance, and computer graphics, offering information on the latest developments in Monte Carlo and quasi-Monte Carlo methods and their randomized versions.
Author: Harald Niederreiter
Publisher: SIAM
ISBN: 9781611970081
Category : Mathematics
Languages : en
Pages : 247
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Book Description
Tremendous progress has taken place in the related areas of uniform pseudorandom number generation and quasi-Monte Carlo methods in the last five years. This volume contains recent important work in these two areas, and stresses the interplay between them. Some developments contained here have never before appeared in book form. Includes the discussion of the integrated treatment of pseudorandom numbers and quasi-Monte Carlo methods; the systematic development of the theory of lattice rules and the theory of nets and (t,s)-sequences; the construction of new and better low-discrepancy point sets and sequences; Nonlinear congruential methods; the initiation of a systematic study of methods for pseudorandom vector generation; and shift-register pseudorandom numbers. Based on a series of 10 lectures presented by the author at a CBMS-NSF Regional Conference at the University of Alaska at Fairbanks in 1990 to a selected group of researchers, this volume includes background material to make the information more accessible to nonspecialists.
Author: J. Hammersley
Publisher: Springer Science & Business Media
ISBN: 9400958196
Category : Science
Languages : en
Pages : 184
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Book Description
This monograph surveys the present state of Monte Carlo methods. we have dallied with certain topics that have interested us Although personally, we hope that our coverage of the subject is reasonably complete; at least we believe that this book and the references in it come near to exhausting the present range of the subject. On the other hand, there are many loose ends; for example we mention various ideas for variance reduction that have never been seriously appli(:d in practice. This is inevitable, and typical of a subject that has remained in its infancy for twenty years or more. We are convinced Qf:ver theless that Monte Carlo methods will one day reach an impressive maturity. The main theoretical content of this book is in Chapter 5; some readers may like to begin with this chapter, referring back to Chapters 2 and 3 when necessary. Chapters 7 to 12 deal with applications of the Monte Carlo method in various fields, and can be read in any order. For the sake of completeness, we cast a very brief glance in Chapter 4 at the direct simulation used in industrial and operational research, where the very simplest Monte Carlo techniques are usually sufficient. We assume that the reader has what might roughly be described as a 'graduate' knowledge of mathematics. The actual mathematical techniques are, with few exceptions, quite elementary, but we have freely used vectors, matrices, and similar mathematical language for the sake of conciseness.
Author: Dirk P. Kroese
Publisher: John Wiley & Sons
ISBN: 1118014952
Category : Mathematics
Languages : en
Pages : 627
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Book Description
A comprehensive overview of Monte Carlo simulation that explores the latest topics, techniques, and real-world applications More and more of today’s numerical problems found in engineering and finance are solved through Monte Carlo methods. The heightened popularity of these methods and their continuing development makes it important for researchers to have a comprehensive understanding of the Monte Carlo approach. Handbook of Monte Carlo Methods provides the theory, algorithms, and applications that helps provide a thorough understanding of the emerging dynamics of this rapidly-growing field. The authors begin with a discussion of fundamentals such as how to generate random numbers on a computer. Subsequent chapters discuss key Monte Carlo topics and methods, including: Random variable and stochastic process generation Markov chain Monte Carlo, featuring key algorithms such as the Metropolis-Hastings method, the Gibbs sampler, and hit-and-run Discrete-event simulation Techniques for the statistical analysis of simulation data including the delta method, steady-state estimation, and kernel density estimation Variance reduction, including importance sampling, latin hypercube sampling, and conditional Monte Carlo Estimation of derivatives and sensitivity analysis Advanced topics including cross-entropy, rare events, kernel density estimation, quasi Monte Carlo, particle systems, and randomized optimization The presented theoretical concepts are illustrated with worked examples that use MATLAB®, a related Web site houses the MATLAB® code, allowing readers to work hands-on with the material and also features the author's own lecture notes on Monte Carlo methods. Detailed appendices provide background material on probability theory, stochastic processes, and mathematical statistics as well as the key optimization concepts and techniques that are relevant to Monte Carlo simulation. Handbook of Monte Carlo Methods is an excellent reference for applied statisticians and practitioners working in the fields of engineering and finance who use or would like to learn how to use Monte Carlo in their research. It is also a suitable supplement for courses on Monte Carlo methods and computational statistics at the upper-undergraduate and graduate levels.
Author: Harald Niederreiter
Publisher: Springer Science & Business Media
ISBN: 1461225523
Category : Mathematics
Languages : en
Pages : 391
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Book Description
Scientists and engineers are increasingly making use of simulation methods to solve problems which are insoluble by analytical techniques. Monte Carlo methods which make use of probabilistic simulations are frequently used in areas such as numerical integration, complex scheduling, queueing networks, and large-dimensional simulations. This collection of papers arises from a conference held at the University of Nevada, Las Vegas, in 1994. The conference brought together researchers across a range of disciplines whose interests include the theory and application of these methods. This volume provides a timely survey of this field and the new directions in which the field is moving.
Author: Paul Glasserman
Publisher: Springer Science & Business Media
ISBN: 0387216170
Category : Mathematics
Languages : en
Pages : 603
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Book Description
From the reviews: "Paul Glasserman has written an astonishingly good book that bridges financial engineering and the Monte Carlo method. The book will appeal to graduate students, researchers, and most of all, practicing financial engineers [...] So often, financial engineering texts are very theoretical. This book is not." --Glyn Holton, Contingency Analysis
