Monte Carlo Simulation And Numerical Integration
DOWNLOAD
Download Monte Carlo Simulation And Numerical Integration PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get Monte Carlo Simulation And Numerical Integration book now. This website allows unlimited access to, at the time of writing, more than 1.5 million titles, including hundreds of thousands of titles in various foreign languages. If the content not found or just blank you must refresh this page
Monte Carlo Simulation And Numerical Integration
DOWNLOAD
Author : John Geweke
language : en
Publisher:
Release Date : 1995
Monte Carlo Simulation And Numerical Integration written by John Geweke and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1995 with Economics categories.
Introduction To Quasi Monte Carlo Integration And Applications
DOWNLOAD
Author : Gunther Leobacher
language : en
Publisher: Springer
Release Date : 2014-09-12
Introduction To Quasi Monte Carlo Integration And Applications written by Gunther Leobacher and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-09-12 with Mathematics categories.
This textbook introduces readers to the basic concepts of quasi-Monte Carlo methods for numerical integration and to the theory behind them. The comprehensive treatment of the subject with detailed explanations comprises, for example, lattice rules, digital nets and sequences and discrepancy theory. It also presents methods currently used in research and discusses practical applications with an emphasis on finance-related problems. Each chapter closes with suggestions for further reading and with exercises which help students to arrive at a deeper understanding of the material presented. The book is based on a one-semester, two-hour undergraduate course and is well-suited for readers with a basic grasp of algebra, calculus, linear algebra and basic probability theory. It provides an accessible introduction for undergraduate students in mathematics or computer science.
Random Number Generation And Quasi Monte Carlo Methods
DOWNLOAD
Author : Harald Niederreiter
language : en
Publisher: SIAM
Release Date : 1992-01-01
Random Number Generation And Quasi Monte Carlo Methods written by Harald Niederreiter and has been published by SIAM this book supported file pdf, txt, epub, kindle and other format this book has been release on 1992-01-01 with Mathematics categories.
This volume contains recent work in uniform pseudorandom number generation and quasi-Monte Carlo methods, and stresses the interplay between them.
A Random Discretization Based Monte Carlo Method For Numerical Integration
DOWNLOAD
Author : Genghui Wu
language : en
Publisher:
Release Date : 2003
A Random Discretization Based Monte Carlo Method For Numerical Integration written by Genghui Wu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with categories.
Contributions To The Theory Of Monte Carlo And Quasi Monte Carlo Methods
DOWNLOAD
Author : Giray Okten
language : en
Publisher: Universal-Publishers
Release Date : 1999
Contributions To The Theory Of Monte Carlo And Quasi Monte Carlo Methods written by Giray Okten and has been published by Universal-Publishers this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with Mathematics categories.
Quasi-Monte Carlo methods, which are often described as deterministic versions of Monte Carlo methods, were introduced in the 1950s by number theoreticians. They improve several deficiencies of Monte Carlo methods; such as providing estimates with deterministic bounds and avoiding the paradoxical difficulty of generating random numbers in a computer. However, they have their own drawbacks. First, although they provide faster convergence than Monte Carlo methods asymptotically, the advantage may not be practical to obtain in "high" dimensional problems. Second, there is not a practical way to measure the error of a quasi-Monte Carlo simulation. Finally, unlike Monte Carlo methods, there is a scarcity of error reduction techniques for these methods. In this dissertation, we attempt to provide remedies for the disadvantages of quasi-Monte Carlo methods mentioned above. In the first part of the dissertation, a hybrid-Monte Carlo sequence designed to obtain error reduction in high dimensions is studied. Probabilistic results on the discrepancy of this sequence as well as results obtained by applying the sequence to problems from numerical integration and mathematical finance are presented. In the second part of the dissertation, a new hybrid-Monte Carlo method is introduced, in an attempt to obtain a practical statistical error analysis using low-discrepancy sequences. It is applied to problems from mathematical finance and particle transport theory to compare its effectiveness with the conventional methods. In the last part of the dissertation, a generalized quasi-Monte Carlo integration rule is introduced. A Koksma-Hlawka type inequality for the rule is proved, using a new concept for the variation of a function. As a consequence of the rule, error reduction techniques and in particular an "importance sampling" type statement are derived. Problems from different disciplines are used as practical tests for our methods. The numerical results obtained in favor of the methods suggest the practical advantages that can be realized by their use in a wide variety of applications.
Advanced Dynamic System Simulation
DOWNLOAD
Author : Granino A. Korn
language : en
Publisher: John Wiley & Sons
Release Date : 2007-03-07
Advanced Dynamic System Simulation written by Granino A. Korn and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-03-07 with Computers categories.
Learn the latest techniques in programming sophisticated simulation systems This cutting-edge text presents the latest techniques in advanced simulation programming for interactive modeling and simulation of dynamic systems, such as aerospace vehicles, control systems, and biological systems. The author, a leading authority in the field, demonstrates computer software that can handle large simulation studies on standard personal computers. Readers can run, edit, and modify the sample simulations from the text with the accompanying CD-ROM, featuring the OPEN DESIRE program for Linux and Windows. The program included on CD solves up to 40,000 ordinary differential equations and implements exceptionally fast and convenient vector operations. The text begins with an introduction to dynamic-system simulation, including a demonstration of a simple guided-missile simulation. Among the other highlights of coverage are: Models that involve sampled-data operations and sampled-data difference equations, including improved techniques for proper numerical integration of switched variables Novel vector compiler that produces exceptionally fast programs for vector and matrix assignments, differential equations, and difference equations Application of vector compiler to parameter-influence studies and Monte Carlo simulation of dynamic systems Vectorized Monte Carlo simulations involving time-varying noise, derived from periodic pseudorandom-noise samples Vector models of neural networks, including a new pulsed-neuron model Vectorized programs for fuzzy-set controller, partial differential equations, and agro-ecological models replicated at many points of a landscape map This text is intended for graduate-level students, engineers, and computer scientists, particularly those involved in aerospace, control system design, chemical process control, and biological systems. All readers will gain the practical skills they need to design sophisticated simulations of dynamic systems. Note: CD-ROM/DVD and other supplementary materials are not included as part of eBook file.
Digital Nets And Sequences
DOWNLOAD
Author : Josef Dick
language : en
Publisher: Cambridge University Press
Release Date : 2010-09-09
Digital Nets And Sequences written by Josef Dick and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-09-09 with Computers categories.
Indispensable for students, invaluable for researchers, this comprehensive treatment of contemporary quasi–Monte Carlo methods, digital nets and sequences, and discrepancy theory starts from scratch with detailed explanations of the basic concepts and then advances to current methods used in research. As deterministic versions of the Monte Carlo method, quasi–Monte Carlo rules have increased in popularity, with many fruitful applications in mathematical practice. These rules require nodes with good uniform distribution properties, and digital nets and sequences in the sense of Niederreiter are known to be excellent candidates. Besides the classical theory, the book contains chapters on reproducing kernel Hilbert spaces and weighted integration, duality theory for digital nets, polynomial lattice rules, the newest constructions by Niederreiter and Xing and many more. The authors present an accessible introduction to the subject based mainly on material taught in undergraduate courses with numerous examples, exercises and illustrations.
Monte Carlo Methods And Stochastic Processes
DOWNLOAD
Author : Emmanuel Gobet
language : en
Publisher: CRC Press
Release Date : 2016-09-15
Monte Carlo Methods And Stochastic Processes written by Emmanuel Gobet and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-09-15 with Mathematics categories.
Developed from the author’s course at the Ecole Polytechnique, Monte-Carlo Methods and Stochastic Processes: From Linear to Non-Linear focuses on the simulation of stochastic processes in continuous time and their link with partial differential equations (PDEs). It covers linear and nonlinear problems in biology, finance, geophysics, mechanics, chemistry, and other application areas. The text also thoroughly develops the problem of numerical integration and computation of expectation by the Monte-Carlo method. The book begins with a history of Monte-Carlo methods and an overview of three typical Monte-Carlo problems: numerical integration and computation of expectation, simulation of complex distributions, and stochastic optimization. The remainder of the text is organized in three parts of progressive difficulty. The first part presents basic tools for stochastic simulation and analysis of algorithm convergence. The second part describes Monte-Carlo methods for the simulation of stochastic differential equations. The final part discusses the simulation of non-linear dynamics.
Monte Carlo And Quasi Monte Carlo Methods 1996
DOWNLOAD
Author : Harald Niederreiter
language : en
Publisher: Springer Science & Business Media
Release Date : 1998
Monte Carlo And Quasi Monte Carlo Methods 1996 written by Harald Niederreiter 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 1998 with Business & Economics categories.
Monte Carlo methods are numerical methods based on random sampling and quasi-Monte Carlo methods are their deterministic versions. This volume contains the refereed proceedings of the Second International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing which was held at the University of Salzburg (Austria) from July 9--12, 1996. The conference was a forum for recent progress in the theory and the applications of these methods. The topics covered in this volume range from theoretical issues in Monte Carlo and simulation methods, low-discrepancy point sets and sequences, lattice rules, and pseudorandom number generation to applications such as numerical integration, numerical linear algebra, integral equations, binary search, global optimization, computational physics, mathematical finance, and computer graphics. These proceedings will be of interest to graduate students and researchers in Monte Carlo and quasi-Monte Carlo methods, to numerical analysts, and to practitioners of simulation methods.
Monte Carlo And Quasi Monte Carlo Methods 2006
DOWNLOAD
Author : Alexander Keller
language : en
Publisher: Springer Science & Business Media
Release Date : 2007-12-30
Monte Carlo And Quasi Monte Carlo Methods 2006 written by Alexander Keller 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 2007-12-30 with Mathematics categories.
This book presents the refereed proceedings of the Seventh International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing, held in Ulm, Germany, in August 2006. The proceedings include carefully selected papers on many aspects of Monte Carlo and quasi-Monte Carlo methods and their applications. They also provide information on current research in these very active areas.