New Monte Carlo Methods With Estimating Derivatives
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New Monte Carlo Methods With Estimating Derivatives
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Author : G. A. Mikhailov
language : en
Publisher: Walter de Gruyter GmbH & Co KG
Release Date : 2022-12-19
New Monte Carlo Methods With Estimating Derivatives written by G. A. Mikhailov and has been published by Walter de Gruyter GmbH & Co KG this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-12-19 with Mathematics categories.
No detailed description available for "New Monte Carlo Methods With Estimating Derivatives".
New Monte Carlo Methods With Estimating Derivatives
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Author : Gennadij A. Michajlov
language : en
Publisher: VSP
Release Date : 1995-01-01
New Monte Carlo Methods With Estimating Derivatives written by Gennadij A. Michajlov and has been published by VSP this book supported file pdf, txt, epub, kindle and other format this book has been release on 1995-01-01 with Science categories.
It is possible to use weighted Monte Carlo methods for solving many problems of mathematical physics (boundary value problems for elliptic equations, the Boltzmann equation, radiation transfer and diffusion equations). Weight estimates make it possible to evaluate special functionals, for example, derivatives with respect to parameters of a problem. In this book new weak conditions are presented under which the corresponding vector Monte Carlo estimates are unbiased and their variances are finite. The author has also constructed new Monte Carlo methods for solving the Helmholz equation with a nonconstant parameter, including the stationary Schrodinger equation. New results for linear and nonlinear problems are also presented. Some methods of random function simulation are considered in the special appendix. A new method of substantiating and optimizing the reccurent Monte Carlo estimates without using the Neumann series is presented in the introduction.
Parametric Estimates By The Monte Carlo Method
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Author : G. A. Mikhailov
language : en
Publisher: Walter de Gruyter GmbH & Co KG
Release Date : 2018-11-05
Parametric Estimates By The Monte Carlo Method written by G. A. Mikhailov and has been published by Walter de Gruyter GmbH & Co KG this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-11-05 with Mathematics categories.
No detailed description available for "Parametric Estimates by the Monte Carlo Method".
Monte Carlo Methods In Financial Engineering
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Author : Paul Glasserman
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-03-09
Monte Carlo Methods In Financial Engineering written by Paul Glasserman 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 2013-03-09 with Mathematics categories.
Monte Carlo simulation has become an essential tool in the pricing of derivative securities and in risk management. These applications have, in turn, stimulated research into new Monte Carlo methods and renewed interest in some older techniques. This book develops the use of Monte Carlo methods in finance and it also uses simulation as a vehicle for presenting models and ideas from financial engineering. It divides roughly into three parts. The first part develops the fundamentals of Monte Carlo methods, the foundations of derivatives pricing, and the implementation of several of the most important models used in financial engineering. The next part describes techniques for improving simulation accuracy and efficiency. The final third of the book addresses special topics: estimating price sensitivities, valuing American options, and measuring market risk and credit risk in financial portfolios. The most important prerequisite is familiarity with the mathematical tools used to specify and analyze continuous-time models in finance, in particular the key ideas of stochastic calculus. Prior exposure to the basic principles of option pricing is useful but not essential. The book is aimed at graduate students in financial engineering, researchers in Monte Carlo simulation, and practitioners implementing models in industry. Mathematical Reviews, 2004: "... this book is very comprehensive, up-to-date and useful tool for those who are interested in implementing Monte Carlo methods in a financial context."
Monte Carlo And Quasi Monte Carlo Methods 2002
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Author : Harald Niederreiter
language : en
Publisher: Springer Science & Business Media
Release Date : 2011-06-28
Monte Carlo And Quasi Monte Carlo Methods 2002 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 2011-06-28 with Mathematics categories.
This book represents the refereed proceedings of the Fifth International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing which was held at the National University of Singapore in the year 2002. An important feature are invited surveys of the state of the art in key areas such as multidimensional numerical integration, low-discrepancy point sets, computational complexity, finance, and other applications of Monte Carlo and quasi-Monte Carlo methods. These proceedings also include 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.
Numerical Analysis And Its Applications
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Author : Lubin Vulkov
language : en
Publisher: Springer Science & Business Media
Release Date : 2001-03-07
Numerical Analysis And Its Applications written by Lubin Vulkov 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 2001-03-07 with Computers categories.
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18 A. R. Ansari,A. F. HegartyandG. I. Shishkin AnAlgorithmBasedonOrthogonalPolynomialVectors forToeplitzLeastSquaresProblems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27 M. VanBarel, G. Heinig andP. Kravanja FromSensitivityAnalysistoRandomFloatingPointArithmetics– ApplicationtoSylvesterEquations. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35 A. Barraud, S. LesecqandN. Christov ConstructionofSeminumericalSchemes: ApplicationtotheArti?cialSatelliteProblem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 42 R. Barrio StabilityAnalysisofParallelEvaluationofFiniteSeries ofOrthogonalPolynomials . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 51 R. Barrio andP. Yalamov OnSolvingLarge-ScaleWeightedLeastSquaresProblems. . . . . . . . . . . . . . . . . . 59 V.
Probabilistic And Randomized Methods For Design Under Uncertainty
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Author : Giuseppe Calafiore
language : en
Publisher: Springer Science & Business Media
Release Date : 2006-03-06
Probabilistic And Randomized Methods For Design Under Uncertainty written by Giuseppe Calafiore 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 2006-03-06 with Technology & Engineering categories.
In many engineering design and optimization problems, the presence of uncertainty in the data is a critical issue. There are different ways to describe this uncertainty and to devise designs that are partly insensitive or robust to it. This book examines uncertain systems in control engineering and general decision or optimization problems for which data is uncertain. Written by leading researchers in optimization and robust control; it highlights the interactions between these two fields. Part I describes theory and solution methods for probability-constrained and stochastic optimization problems; Part II focuses on numerical methods for solving randomly perturbed convex programs and semi-infinite optimization problems by probabilistic techniques; Part III details the theory and applications of randomized techniques to the analysis and design of robust control systems. It will interest researchers, academics and postgraduates in control engineering and operations research as well as professionals working in operations research.
Exploring Monte Carlo Methods
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Author : William L. Dunn
language : en
Publisher: Elsevier
Release Date : 2022-06-07
Exploring Monte Carlo Methods written by William L. Dunn and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-06-07 with Science categories.
Exploring Monte Carlo Methods, Second Edition provides a valuable introduction to the numerical methods that have come to be known as "Monte Carlo." This unique and trusted resource for course use, as well as researcher reference, offers accessible coverage, clear explanations and helpful examples throughout. Building from the basics, the text also includes applications in a variety of fields, such as physics, nuclear engineering, finance and investment, medical modeling and prediction, archaeology, geology and transportation planning. - Provides a comprehensive yet concise treatment of Monte Carlo methods - Uses the famous "Buffon's needle problem" as a unifying theme to illustrate the many aspects of Monte Carlo methods - Includes numerous exercises and useful appendices on: Certain mathematical functions, Bose Einstein functions, Fermi Dirac functions and Watson functions
Computational Science Iccs 2007
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Author : Yong Shi
language : en
Publisher: Springer Science & Business Media
Release Date : 2007-05-18
Computational Science Iccs 2007 written by Yong Shi 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 2007-05-18 with Computers categories.
Annotation The four-volume set LNCS 4487-4490 constitutes the refereed proceedings of the 7th International Conference on Computational Science, ICCS 2007, held in Beijing, China in May 2007. More than 2400 submissions were made to the main conference and its 35 topical workshops. The 80 revised full papers and 11 revised short papers of the main track were carefully reviewed and selected from 360 submissions and are presented together with 624 accepted workshop papers in four volumes. According to the ICCS 2007 theme "Advancing Science and Society through Computation" the papers cover a large volume of topics in computational science and related areas, from multiscale physics, to wireless networks, and from graph theory to tools for program development. The papers are arranged in topical sections on efficient data management, parallel monte carlo algorithms, simulation of multiphysics multiscale systems, dynamic data driven application systems, computer graphics and geometric modeling, computer algebra systems, computational chemistry, computational approaches and techniques in bioinformatics, computational finance and business intelligence, geocomputation, high-level parallel programming, networks theory and applications, collective intelligence for semantic and knowledge grid, collaborative and cooperative environments, tools for program development and analysis in CS, intelligent agents in computing systems, CS in software engineering, computational linguistics in HCI, internet computing in science and engineering, workflow systems in e-science, graph theoretic algorithms and applications in cs, teaching CS, high performance data mining, mining text, semi-structured, Web, or multimedia data, computational methods in energy economics, risk analysis, advances in computational geomechanics and geophysics, meta-synthesis and complex systems, scientific computing in electronics engineering, wireless and mobile systems, high performance networked media and services, evolution toward next generation internet, real time systems and adaptive applications, evolutionary algorithms and evolvable systems.
Monte Carlo Methods For Applied Scientists
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Author : Ivan Dimov
language : en
Publisher: World Scientific
Release Date : 2008
Monte Carlo Methods For Applied Scientists written by Ivan Dimov and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Mathematics categories.
The Monte Carlo method is inherently parallel and the extensive and rapid development in parallel computers, computational clusters and grids has resulted in renewed and increasing interest in this method. At the same time there has been an expansion in the application areas and the method is now widely used in many important areas of science including nuclear and semiconductor physics, statistical mechanics and heat and mass transfer. This book attempts to bridge the gap between theory and practice concentrating on modern algorithmic implementation on parallel architecture machines. Although a suitable text for final year postgraduate mathematicians and computational scientists it is principally aimed at the applied scientists: only a small amount of mathematical knowledge is assumed and theorem proving is kept to a minimum, with the main focus being on parallel algorithms development often to applied industrial problems. A selection of algorithms developed both for serial and parallel machines are provided. Sample Chapter(s). Chapter 1: Introduction (231 KB). Contents: Basic Results of Monte Carlo Integration; Optimal Monte Carlo Method for Multidimensional Integrals of Smooth Functions; Iterative Monte Carlo Methods for Linear Equations; Markov Chain Monte Carlo Methods for Eigenvalue Problems; Monte Carlo Methods for Boundary-Value Problems (BVP); Superconvergent Monte Carlo for Density Function Simulation by B-Splines; Solving Non-Linear Equations; Algorithmic Effciency for Different Computer Models; Applications for Transport Modeling in Semiconductors and Nanowires. Readership: Applied scientists and mathematicians.