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Monte Carlo and Quasi-Monte Carlo Methods 2012

SPMS: MONTE CARLO AND QUASI MONTE CARLO METHODS 2012

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This book represents the refereed proceedings of the Tenth International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing that was held at the University of New South Wales (Australia) in February 2012. These biennial conferences are major events for Monte Carlo and the premiere event for quasi-Monte Carlo research. 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. The reader will be provided with information on latest developments in these very active areas. The book is an excellent reference for theoreticians and practitioners interested in solving high-dimensional computational problems arising, in particular, in finance, statistics and computer graphics.

POST SECONDARY FOUR YEAR

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Front Cover.
Other Frontmatter.
Other Frontmatter.
Title Page.
Copyright Page.
Preface.
Contents.
1: Invited Articles.
2: Computing Functionals of Square Root and Wishart Processes Under the Benchmark Approach via Exact Simulation.
3: The Supremum Norm of the Discrepancy Function: Recent Results and Connections.
4: An Introduction to Stochastic Particle Integration Methods: With Applications to Risk and Insurance.
5: Multilevel Monte Carlo Methods.
6: Guaranteed Conservative Fixed Width Confidence Intervals via Monte Carlo Sampling.
7: Discrepancy, Integration and Tractability.
8: Noisy Information: Optimality, Complexity, Tractability.
9: Tutorial.
10: Quasi-Monte Carlo Image Synthesis in a Nutshell.
11: Contributed Articles.
12: Conditional Sampling for Barrier Option Pricing Under the Heston Model.
13: Probabilistic Star Discrepancy Bounds for Double Infinite Random Matrices.
14: The L2 Discrepancy of Irrational Lattices.
15: Complexity of Banach Space Valued and Parametric Integration.
16: Extended Latin Hypercube Sampling for Integration and Simulation.
17: A Kernel-Based Collocation Method for Elliptic Partial Differential Equations with Random Coefficients.
18: Polynomial Accelerated MCMC and Other Sampling Algorithms Inspired by Computational Optimization.
19: Antithetic Multilevel Monte Carlo Estimation for Multidimensional SDEs.
20: On the Convergence of Quantum and Sequential Monte Carlo Methods.
21: Lower Error Bounds for Randomized Multilevel and Changing Dimension Algorithms.
22: A Non-empirical Test on the Second to the Sixth Least Significant Bits of Pseudorandom Number Generators.
23: A Finite-Row Scrambling of Niederreiter Sequences.
24: Reconstructing Multivariate Trigonometric Polynomials by Sampling Along Generated Sets.
25: Bayesian Approaches to the Design of Markov Chain Monte Carlo Samplers.
26: Deterministic Consistent Density Estimation for Light Transport Simulation.
27: On Wavelet-Galerkin Methods for Semilinear Parabolic Equations with Additive Noise.
28: Component-by-Component Construction of Hybrid Point Sets Based on Hammersley and Lattice Point Sets.
29: A QMC-Spectral Method for Elliptic PDEs with Random Coefficients on the Unit Sphere.
30: Sampling and Low-Rank Tensor Approximation of the Response Surface.
31: The Stochastic EM Algorithm for Censored Mixed Models.
32: Existence of Higher Order Convergent Quasi-Monte Carlo Rules via Walsh Figure of Merit.
33: ANOVA Decomposition of Convex Piecewise Linear Functions.
34: Hit-and-Run for Numerical Integration.
35: QMC Galerkin Discretization of Parametric Operator Equations.
36: On the Choice of Weights in a Function Space for Quasi-Monte Carlo Methods for a Class of Generalised Response Models in Statistics.
37: Multi-level Monte Carlo Finite Difference and Finite Volume Methods for Stochastic Linear Hyperbolic Systems.
Conference Participants.
Index.

Monte Carlo and Quasi-Monte Carlo Methods 2012.css-1p8rvzy{position:absolute;padding-left:8px;}

Monte Carlo and Quasi-Monte Carlo Methods 2012