Mean Field Simulation For Monte Carlo Integration
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Mean Field Simulation For Monte Carlo Integration
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Author : Pierre Del Moral
language : en
Publisher: CRC Press
Release Date : 2013-05-20
Mean Field Simulation For Monte Carlo Integration written by Pierre Del Moral and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-05-20 with Mathematics categories.
In the last three decades, there has been a dramatic increase in the use of interacting particle methods as a powerful tool in real-world applications of Monte Carlo simulation in computational physics, population biology, computer sciences, and statistical machine learning. Ideally suited to parallel and distributed computation, these advanced particle algorithms include nonlinear interacting jump diffusions; quantum, diffusion, and resampled Monte Carlo methods; Feynman-Kac particle models; genetic and evolutionary algorithms; sequential Monte Carlo methods; adaptive and interacting Markov chain Monte Carlo models; bootstrapping methods; ensemble Kalman filters; and interacting particle filters. Mean Field Simulation for Monte Carlo Integration presents the first comprehensive and modern mathematical treatment of mean field particle simulation models and interdisciplinary research topics, including interacting jumps and McKean-Vlasov processes, sequential Monte Carlo methodologies, genetic particle algorithms, genealogical tree-based algorithms, and quantum and diffusion Monte Carlo methods. Along with covering refined convergence analysis on nonlinear Markov chain models, the author discusses applications related to parameter estimation in hidden Markov chain models, stochastic optimization, nonlinear filtering and multiple target tracking, stochastic optimization, calibration and uncertainty propagations in numerical codes, rare event simulation, financial mathematics, and free energy and quasi-invariant measures arising in computational physics and population biology. This book shows how mean field particle simulation has revolutionized the field of Monte Carlo integration and stochastic algorithms. It will help theoretical probability researchers, applied statisticians, biologists, statistical physicists, and computer scientists work better across their own disciplinary boundaries.
Mean Field Simulation For Monte Carlo Integration
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Author : Pierre Del Moral
language : en
Publisher: CRC Press
Release Date : 2013-05-20
Mean Field Simulation For Monte Carlo Integration written by Pierre Del Moral and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-05-20 with Mathematics categories.
This book presents the first comprehensive and modern mathematical treatment of these mean field particle models, including refined convergence analysis on nonlinear Markov chain models. It also covers applications related to parameter estimation in hidden Markov chain models, stochastic optimization, nonlinear filtering and multiple target tracking, stochastic optimization, calibration and uncertainty propagations in numerical codes, rare event simulation, financial mathematics, and free energy and quasi-invariant measures arising in computational physics and population biology.
Monte Carlo And Quasi Monte Carlo Methods 2012
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Author : Josef Dick
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-12-05
Monte Carlo And Quasi Monte Carlo Methods 2012 written by Josef Dick and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-12-05 with Mathematics categories.
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.
Theoretical Aspects Of Spatial Temporal Modeling
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Author : Gareth William Peters
language : en
Publisher: Springer
Release Date : 2015-12-24
Theoretical Aspects Of Spatial Temporal Modeling written by Gareth William Peters and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-12-24 with Mathematics categories.
This book provides a modern introductory tutorial on specialized theoretical aspects of spatial and temporal modeling. The areas covered involve a range of topics which reflect the diversity of this domain of research across a number of quantitative disciplines. For instance, the first chapter provides up-to-date coverage of particle association measures that underpin the theoretical properties of recently developed random set methods in space and time otherwise known as the class of probability hypothesis density framework (PHD filters). The second chapter gives an overview of recent advances in Monte Carlo methods for Bayesian filtering in high-dimensional spaces. In particular, the chapter explains how one may extend classical sequential Monte Carlo methods for filtering and static inference problems to high dimensions and big-data applications. The third chapter presents an overview of generalized families of processes that extend the class of Gaussian process models to heavy-tailed families known as alpha-stable processes. In particular, it covers aspects of characterization via the spectral measure of heavy-tailed distributions and then provides an overview of their applications in wireless communications channel modeling. The final chapter concludes with an overview of analysis for probabilistic spatial percolation methods that are relevant in the modeling of graphical networks and connectivity applications in sensor networks, which also incorporate stochastic geometry features.
Stochastic Processes
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Author : Pierre Del Moral
language : en
Publisher: CRC Press
Release Date : 2017-02-24
Stochastic Processes written by Pierre Del Moral and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-02-24 with Mathematics categories.
Unlike traditional books presenting stochastic processes in an academic way, this book includes concrete applications that students will find interesting such as gambling, finance, physics, signal processing, statistics, fractals, and biology. Written with an important illustrated guide in the beginning, it contains many illustrations, photos and pictures, along with several website links. Computational tools such as simulation and Monte Carlo methods are included as well as complete toolboxes for both traditional and new computational techniques.
Stochastic Analysis For Gaussian Random Processes And Fields
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Author : Vidyadhar S. Mandrekar
language : en
Publisher: CRC Press
Release Date : 2015-06-23
Stochastic Analysis For Gaussian Random Processes And Fields written by Vidyadhar S. Mandrekar and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-06-23 with Mathematics categories.
Stochastic Analysis for Gaussian Random Processes and Fields: With Applications presents Hilbert space methods to study deep analytic properties connecting probabilistic notions. In particular, it studies Gaussian random fields using reproducing kernel Hilbert spaces (RKHSs).The book begins with preliminary results on covariance and associated RKHS
Quantification Of Uncertainty Improving Efficiency And Technology
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Author : Marta D'Elia
language : en
Publisher: Springer Nature
Release Date : 2020-07-30
Quantification Of Uncertainty Improving Efficiency And Technology written by Marta D'Elia and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-07-30 with Mathematics categories.
This book explores four guiding themes – reduced order modelling, high dimensional problems, efficient algorithms, and applications – by reviewing recent algorithmic and mathematical advances and the development of new research directions for uncertainty quantification in the context of partial differential equations with random inputs. Highlighting the most promising approaches for (near-) future improvements in the way uncertainty quantification problems in the partial differential equation setting are solved, and gathering contributions by leading international experts, the book’s content will impact the scientific, engineering, financial, economic, environmental, social, and commercial sectors.
Cyclostationarity Theory And Methods Iv
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Author : Fakher Chaari
language : en
Publisher: Springer
Release Date : 2019-07-31
Cyclostationarity Theory And Methods Iv written by Fakher Chaari and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-07-31 with Technology & Engineering categories.
This book gathers contributions presented at the 10th Workshop on Cyclostationary Systems and Their Applications, held in Gródek nad Dunajcem, Poland in February 2017. It includes twelve interesting papers covering current topics related to both cyclostationary and general non stationary processes. Moreover, this book, which covers both theoretical and practical issues, offers a practice-oriented guide to the analysis of data sets with non-stationary behavior and a bridge between basic and applied research on nonstationary processes. It provides students, researchers and professionals with a timely guide on cyclostationary systems, nonstationary processes and relevant engineering applications.
Perfect Simulation
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Author : Mark L. Huber
language : en
Publisher: CRC Press
Release Date : 2016-01-20
Perfect Simulation written by Mark L. Huber and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-01-20 with Mathematics categories.
Exact sampling, specifically coupling from the past (CFTP), allows users to sample exactly from the stationary distribution of a Markov chain. During its nearly 20 years of existence, exact sampling has evolved into perfect simulation, which enables high-dimensional simulation from interacting distributions.Perfect Simulation illustrates the applic
Complex Sport Analytics
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Author : Felix Lebed
language : en
Publisher: Routledge
Release Date : 2017-05-12
Complex Sport Analytics written by Felix Lebed and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-05-12 with Sports & Recreation categories.
This book is the first to combine principles from analytics, complex systems theory, multi-disciplinary diagnostics and sport performance analysis. It considers athletes, teams, and sport organizations in individual and team games as complex systems, and demonstrates how complexity studies can enrich analytics and give us a more sophisticated understanding of the causalities of winning and losing in sports. Part I introduces the basic categories of analytics and their uses in elite sport. Part II presents an original conception of sport analytics both as a complex of different kinds of processes and as a complexity-adapted view of human systems acting in sport performance and management. Part III considers the main principles of complex sport analytics, expanding the prism of complexity to include all levels of a sport organization from athletes, coaches and trainers to top decision makers, and suggests practical applications and simulations for cases of both individual and team sports. This is illuminating reading for any advanced student, researcher or practitioner working in sport analytics, performance analysis, coaching science or sport management.