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Monte Carlo and Quasi-Monte Carlo Methods, 1st ed. 2018 MCQMC 2016, Stanford, CA, August 14-19 Springer Proceedings in Mathematics & Statistics Series, Vol. 241

Langue : Anglais

Coordonnateurs : Owen Art B., Glynn Peter W.

Couverture de l’ouvrage Monte Carlo and Quasi-Monte Carlo Methods

This book presents the refereed proceedings of the Twelfth International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing that was held at Stanford University (California) in August 2016.  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, computer graphics and the solution of PDEs.

Part I Tutorials, Fred J. Hickernell, The Trio Identity for Quasi-Monte Carlo Error.- Pierre L’Ecuyer, Randomized Quasi-Monte Carlo: An Introduction for Practitioners.- Frances Y. Kuo and Dirk Nuyens, Application of Quasi-Monte Carlo Methods to PDEs with Random Coefficients – an Overview and Tutorial.- Part II Invited talks, Jose Blanchet and Zhipeng Liu, Malliavin-based Multilevel Monte Carlo Estimators for Densities of Max-stable Processes.- Nicolas Chopin and Mathieu Gerber, Sequential quasi-Monte Carlo: Introduction for Non-Experts, Dimension Reduction, Application to Partly Observed Diffusion Processes.- Frances Y. Kuo and Dirk Nuyens, Hot New Directions for Quasi-Monte Carlo Research in Step with Applications.- Saul Toscano-Palmerin and Peter I. Frazier, Stratified Bayesian Optimization.- Part III Regular talks, Christoph Aistleitner, Dmitriy Bilyk, and Aleksandar Nikolov, Tusnady’s Problem, the Transference Principle, and Non-Uniform QMC Sampling.- Ken Dahm and Alexander Keller, Learning Light Transport the Reinforced Way.- Adrian Ebert, Hernan Leovey, and Dirk Nuyens, Successive Coordinate Search and Component-by-Component Construction of Rank-1 Lattice Rules.- Wei Fang and Michael B. Giles, Adaptive Euler-Maruyama method for SDEs with non-globally Lipschitz drift.- J. Feng and M. Huber and Y. Ruan, Monte Carlo with User-Specified Relative Error.- Robert N. Gantner, Dimension Truncation in QMC for Affine-Parametric Operator Equations.- Michael B. Giles, Frances Y. Kuo, and Ian H. Sloan, Combining Sparse Grids, Multilevel MC and QMC for Elliptic PDEs with Random Coefficients.- Hiroshi Haramoto and Makoto Matsumoto, A Method to Compute an Appropriate Sample Size of a Two-Level Test for the NIST Test Suite.- Stefan Heinrich, Lower Complexity Bounds for Parametric Stochastic Itoˆ Integration.- Lukas Herrmann and Christoph Schwab, QMC Algorithms with Product Weights for Lognormal-Parametric, Elliptic PDEs.- Masatake Hirao, QMC Designs and Determinantal Point Processes.- Adam W. Kolkiewicz, Efficient Monte Carlo For Diffusion Processes Using Ornstein-Uhlenbeck Bridges.- Ralph Kritzinger, Optimal Discrepancy Rate of Point Sets in Besov Spaces with Negative Smoothness.- Ralph Kritzinger, Helene Laimer, and Mario Neumuller, A Reduced Fast Construction of Polynomial Lattice Point Sets with Low Weighted Star Discrepancy.- David Mandel and Giray Okten, Randomized Sobol’ Sensitivity Indices.- Hisanari Otsu, Shinichi Kinuwaki, and Toshiya Hachisuka, Supervised Learning of How to Blend Light Transport Simulations.- Pieterjan Robbe, Dirk Nuyens, and Stefan Vandewalle, A Dimension-Adaptive Multi-Index Monte Carlo Method Applied to a Model of a Heat Exchanger.- Shuang Zhao, Rong Kong, and Jerome Spanier, Towards Real-Time Monte Carlo for Biomedicine.- Zeyu Zheng, Jose Blanchet, and Peter W. Glynn, Rates of Convergence and CLTs for Subcanonical Debiased MLMC.

QMC tutorials by world leading researchers

Cutting edge research by top scholars in high dimensional numerical methods

Results from the conference series of record for QMC and discrepancy

Date de parution :

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Date de parution :

Ouvrage de 479 p.

15.5x23.5 cm

Disponible chez l'éditeur (délai d'approvisionnement : 15 jours).

Prix indicatif 105,49 €

Ajouter au panier