Monte-Carlo and Quasi-Monte Carlo Methods 1998: Proceedings of a Conference held at the Claremont Graduate University, Claremont, California, USA, June 22-26, 1998

by Harald Niederreiter (Editor), Jerome Spanier (Editor)

Overview

This book represents the refereed proceedings of the Third International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing which was held at Claremont Graduate University in 1998. An important feature are invited surveys of the state of the art in key areas such as multidimensional numerical integration, low-discrepancy point sets, random number generation, and applications of Monte Carlo and quasi-Monte Carlo methods. These proceedings include also carefully selected contributed papers on all aspects of Monte Carlo and quasi-Monte Carlo methods. The reader will be informed about current research in this very active area.

Product Details

ISBN-13:	9783540661764
Publisher:	Springer Berlin Heidelberg
Publication date:	11/23/1999
Pages:	470
Product dimensions:	6.10(w) x 9.25(h) x (d)

Table of Contents

Preface

Conference Participants

Adaptively Learning an Importance Function Using Transport Constrained Monte Carlo

Thomas E. Booth

What Affects the Accuracy of Quasi-Monte Carlo Quadrature?

Fred J. Hickernell

Dynamic Creation of Pseudorandom Number Generators

Makoto Matsumoto, Takuji Nishimura

Constructions of (t, m, s)-Nets

Harald Niederreiter

Monte Carlo, Quasi-Monte Carlo, and Randomized Quasi-Monte Carlo

Art B. Owen

Geometrically Convergent Learning Algorithms for Global Solutions of Transport Problems

Jerome Spanier

Efficiency of Quasi-Monte Carlo Algorithms for High Dimensional Integrals

Henryk Wozniakowski

Domain Decomposition Methods for Parallel Laser-Tissue Models with Monte Carlo Transport

Henry J. Alme, Garry Rodrigue, George Zimmerman

Pricing Complex Barrier Options with General Features Using Sharp Large Deviation Estimates

Paolo Baldi, Lucia Caramellino, Maria Gabriella Iovino

Application of Quasi-Monte Carlo Sampling to the Multi Path Method for Radiosity

Francesc Castro, Mateu Sbert

Semi-Monte Carlo Light Tracing Applied to the Study of Road Visibility in Fog

Eric Dumont

Quasi-Monte Carlo Node Sets from Linear Congruential Generators

Karl Entacher, Peter Hellekalek, Pierre L'Ecuyer

Methods for Generating Random Orthogonal Matrices

Alan Genz

Comparison of Monte Carlo Algorithms for Obtaining Geometric Convergence for Model Transport Problems

Carole Hayakawa, Jerome Spanier

Wavelet Monte Carlo Methods for the Global Solution of Integral Equations

Stefan Heinrich

Sequential Correlated Sampling Methods for Some Transport Problems

Rong Kong, Jerome Spanier

Error Analysis of Sequential Monte Carlo Methods for Transport Problems

Rong Kong, Jerome Spanier

Adaptive Importance Sampling Algorithms for Transport Problems

Yongzeng Lai, Jerome Spanier

Applications of Monte Carlo/Quasi-Monte Carlo Methods in Finance: Option Pricing

Yongzeng Lai, Jerome Spanier

A Discrepancy-Based Analysis of Figures of Merit for Lattice Rules

T. N. Langtry

Grid-Free Simulation of Convection-Diffusion

Christian Lecot, Abdoul Koudiraty

A Comparison of Monte Carlo, Lattice Rules and Other Low-Discrepancy Point Sets

Christiane Lemieux, Pierre L'Ecuyer

Higher-Dimensional Properties of Non-Uniform Pseudo-Random Variates

Josef Leydold, Hannes Leeb, Wolfgang Hormann

Quasi-Monte Carlo Simulation Methods for Measurement Uncertainty

Liming Li

Linear Programming Bounds for Ordered Orthogonal Arrays and (T, M, S)-Nets

William J. Martin

A Practical Approach to the Error Estimation of Quasi-Monte Carlo Integrations

Hozumi Morohosi, Masanori Fushimi

Applications of a Hybrid-Monte Carlo Sequence to Option Pricing

Giray Okten

Monte Carlo Simulation of Photometrical Measurements in Fog

Giselle Paulmier, Victor Carta

Variance Reduction Techniques for Large Scale Risk Management

Henry Schellhorn, Flora Kidani

Improvements and Extensions of the "Salzburg Tables" by Using Irreducible Polynomials

Wolfgang Ch. Schmid

A LeVeque-Type Lower Bound for Discrepancy

Francis Edward Su

The Diaphony and the Star-Diaphony of Some Two-Dimensional Sequences

Yi-Jun Xiao