Monte Carlo and Quasi-Monte Carlo Methods : MCQMC, Leuven, Belgium, April 2014 - neues Buch

EAN (ISBN-13): 9783319335070
ISBN (ISBN-10): 3319335073
Erscheinungsjahr: 2016
Herausgeber: Springer-Verlag GmbH

Buch in der Datenbank seit 2017-01-28T10:24:35+01:00 (Berlin)
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ISBN/EAN: 9783319335070

ISBN - alternative Schreibweisen:
3-319-33507-3, 978-3-319-33507-0
Alternative Schreibweisen und verwandte Suchbegriffe:
Autor des Buches: nuyens, nuyen, cool
Titel des Buches: quasi quasi, monte carlo

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Daten vom Verlag:

Autor/in: Ronald Cools; Dirk Nuyens
Titel: Springer Proceedings in Mathematics & Statistics; Monte Carlo and Quasi-Monte Carlo Methods - MCQMC, Leuven, Belgium, April 2014
Verlag: Springer; Springer International Publishing
622 Seiten
Erscheinungsjahr: 2016-06-13
Cham; CH
Sprache: Englisch
149,79 € (DE)
154,00 € (AT)
177,00 CHF (CH)
Available
XVIII, 622 p. 116 illus., 57 illus. in color.

EA; E107; eBook; Nonbooks, PBS / Mathematik/Wahrscheinlichkeitstheorie, Stochastik, Mathematische Statistik; Numerische Mathematik; Verstehen; Quasi-Monte Carlo; Monte Carlo; Markov chain Monte Carlo; Multilevel Monte Carlo; Low-discrepancy; C; Computational Mathematics and Numerical Analysis; Applications of Mathematics; Mathematics and Statistics; Angewandte Mathematik; BB

Part I Invited papers.- Multilevel Monte Carlo Implementation for SDEs driven by Truncated Stable Processes.- Construction of a Mean Square Error Adaptive Euler–Maruyama Method With Applications in Multilevel Monte Carlo.- Vandermonde Nets and Vandermonde Sequences.- Path Space Markov Chain Monte Carlo Methods in Computer Graphics.- Walsh Figure of Merit for Digital Nets: An Easy Measure for Higher Order Convergent QMC.- Some Results on the Complexity of Numerical Integration.- Approximate Bayesian Computation: A Survey on Recent Results.- Part II Contributed papers.- Multilevel Monte Carlo Simulation of Statistical Solutions to the Navier–Stokes Equations.- Unbiased Simulation of Distributions with Explicitly Known Integral Transforms.- Central Limit Theorem for Adaptive Multilevel Splitting Estimators in an Idealized Setting.- Comparison between LS-Sequences and β -adic van der Corput Sequences.- Computational Higher Order Quasi-Monte Carlo Integration.- Numerical Computation of Multivariate Normal Probabilities using Bivariate Conditioning.- Non-nested Adaptive Timesteps in Multilevel Monte Carlo Computations.- On ANOVA Decompositions of Kernels and Gaussian Random Field Paths.- The Mean Square Quasi-Monte Carlo Error for Digitally Shifted Digital Nets.- Uncertainty and Robustness in Weather Derivative Models.- Reliable Adaptive Cubature Using Digital Sequences.- Optimal Point Sets for Quasi-Monte Carlo Integration of Bivariate Periodic Functions with Bounded Mixed Derivatives.- Adaptive Multidimensional Integration Based on Rank-1 Lattices.- Path Space Filtering.- Tractability of Multivariate Integration in Hybrid Function Spaces.- Derivative-based Global Sensitivity Measures and Their Link with Sobol’ Sensitivity Indices.- Bernstein Numbers and Lower Bounds for the Monte Carlo Error.- A Note on the Importance of Weak Convergence Rates for SPDE Approximations in Multilevel Monte Carlo Schemes.- A Strategy for Parallel Implementations of StochasticLagrangian Simulation.- A New Rejection Sampling Method for Truncated Multivariate Gaussian Random Variables Restricted to Convex Sets.- Van der Corput and Golden Ratio Sequences Along the Hilbert Space-Filling Curve.- Uniform Weak Tractability of Weighted Integration.- Incremental Greedy Algorithm and Its Applications in Numerical Integration.- On “Upper Error Bounds for Quadrature Formulas on Function Classes” by K K Frolov.- Tractability of Function Approximation With Product Kernels.- Discrepancy Estimates for Acceptance-Rejection Samplers Using Stratified Inputs.- List of Participants.- Index.
Provides information on current trends in the area of Monte Carlo (MC) and quasi-Monte Carlo (QMC) methods Presents invited survey papers that summarize the state-of-the-art of the corresponding field Benefits practitioners by including concrete applications in statistics, finance, computer graphics, and other computational areas Includes supplementary material: sn.pub/extras