Monte Carlo and Quasi-Monte Carlo Methods 2000 (eBook, PDF)

Proceedings of a Conference held at Hong Kong Baptist University, Hong Kong SAR, China, November 27 - December 1, 2000
Redaktion: Fang, Kai-Tai; Niederreiter, Harald; Hickernell, Fred J.

• Format: PDF

Produktdetails

• Verlag: Springer Berlin Heidelberg
• Seitenzahl: 548
• Erscheinungstermin: 28. Juni 2011
• Englisch
• ISBN-13: 9783642560460
• Artikelnr.: 53174083

Autorenporträt

Kai-Tai Fang, Hong Kong Baptist University, China / Fred J. Hickernell, Hong Kong Baptist University, China / Harald Niederreiter, National University of Singapore

Inhaltsangabe

Large Deviations in Rare Events Simulation: Examples, Counterexamples and Alternatives.- Some Applications of Quasi-Monte Carlo Methods in Statistics.- Some New Perspectives on the Method of Control Variates.- Optimal Summation and Integration by Deterministic, Randomized, and Quantum Algorithms.- Quasirandom Walk Methods.- Recent Advances in the Theory of Nonlinear Pseudorandom Number Generators.- QMC Integration - Beating Intractability by Weighting the Coordinate Directions.- Quasi-Monte Carlo - Discrepancy between Theory and Practice.- Efficient Monte Carlo Simulation Methods in Statistical Physics.- An Historical Overview of Lattice Point Sets.- Multicanonical Monte Carlo Simulations.- Pricing American Derivatives using Simulation: A Biased Low Approach.- Fast Evaluation of the Asian Basket Option by Singular Value Decomposition.- Relationships Between Uniformity, Aberration and Correlation in Regular Fractions 3s-1.- Uniformity in Fractional Factorials.- Another Random Scrambling of Digital (t, s)-Sequences.- Fast Generation of Randomized Low-Discrepancy Point Sets.- Obtaining O(N-2+?) Convergence for Lattice Quadrature Rules.- Efficient Bidirectional Path Tracing by Randomized Quasi-Monte Carlo Integration.- Residual Versus Error in Transport Problems.- Construction of Equidistributed Generators Based on Linear Recurrences Modulo 2.- Quasi-Regression and the Relative Importance of the ANOVA Components of a Function.- Variants of Transformed Density Rejection and Correlation Induction.- Using Discrepancy to Evaluate Fractional Factorial Designs.- A Parallel Quasi-Monte Carlo Method for Computing Extremal Eigenvalues.- A Nonempirical Test on the Weight of Pseudorandom Number Generators.- A Kronecker Product Construction for Digital Nets.- Parallel Quasi-MonteCarlo Methods on a Heterogeneous Cluster.- American Option Pricing: A Classification-Monte Carlo (CMC) Approach.- A Software Implementation of Niederreiter-Xing Sequences.- Average Case Complexity of Weighted Integration and Approximation over IRd with Isotropic Weight.- Using MCMC for Logistic Regression Model Selection Involving Large Number of Candidate Models.- Quasi-Monte Carlo Methods in Designs of Spatial Sampling Points.- Improving the Efficiency of the Two-stage Shrinkage Estimators Using Bootstrap Methods.- Tractability of Approximation and Integration for Weighted Tensor Product Problems over Unbounded Domains.- D-optimal Designs Based on Elementary Intervals for b-adic Haar Wavelet Regression Models.- On the Monte-Carlo Simulation of Several Regression Estimators in Nonlinear Time Series.