New Monte Carlo Methods With Estimating Derivatives
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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.
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 : 2023-02-14
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 2023-02-14 with Mathematics categories.
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.
From the reviews: "Paul Glasserman has written an astonishingly good book that bridges financial engineering and the Monte Carlo method. The book will appeal to graduate students, researchers, and most of all, practicing financial engineers [...] So often, financial engineering texts are very theoretical. This book is not." --Glyn Holton, Contingency Analysis
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.
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
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.
Numerical Methods And Applications
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Author : Todor Boyanov
language : en
Publisher: Springer
Release Date : 2007-05-15
Numerical Methods And Applications written by Todor Boyanov and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-05-15 with Computers categories.
This book constitutes the thoroughly refereed post-proceedings of NMA 2006 held in Borovets, Bulgaria. Coverage in the 84 revised full papers includes numerical methods for hyperbolic problems, robust preconditioning solution methods, metaheuristics for optimization problems, uncertain/control systems and reliable numerics, interpolation and quadrature processes, and large-scale computations in environmental modeling.
Computational Methods For Linear Integral Equations
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Author : Prem Kythe
language : en
Publisher: Springer Science & Business Media
Release Date : 2002-04-26
Computational Methods For Linear Integral Equations written by Prem Kythe 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 2002-04-26 with Mathematics categories.
This book presents numerical methods and computational aspects for linear integral equations. Such equations occur in various areas of applied mathematics, physics, and engineering. The material covered in this book, though not exhaustive, offers useful techniques for solving a variety of problems. Historical information cover ing the nineteenth and twentieth centuries is available in fragments in Kantorovich and Krylov (1958), Anselone (1964), Mikhlin (1967), Lonseth (1977), Atkinson (1976), Baker (1978), Kondo (1991), and Brunner (1997). Integral equations are encountered in a variety of applications in many fields including continuum mechanics, potential theory, geophysics, electricity and mag netism, kinetic theory of gases, hereditary phenomena in physics and biology, renewal theory, quantum mechanics, radiation, optimization, optimal control sys tems, communication theory, mathematical economics, population genetics, queue ing theory, and medicine. Most of the boundary value problems involving differ ential equations can be converted into problems in integral equations, but there are certain problems which can be formulated only in terms of integral equations. A computational approach to the solution of integral equations is, therefore, an essential branch of scientific inquiry.
Adaptive Methods Of Computing Mathematics And Mechanics
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Author : Dmitrij G. Arsen'ev
language : en
Publisher: World Scientific
Release Date : 1999
Adaptive Methods Of Computing Mathematics And Mechanics written by Dmitrij G. Arsen'ev and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with Mathematics categories.
This book describes adaptive methods of statistical numerical analysis using evaluation of integrals, solution of integral equations, boundary value problems of the theory of elasticity and heat conduction as examples. The results and approaches provided in this book are different from those available in the literature as detailed descriptions of the mechanisms of adaptation of statistical evaluation procedures, which accelerate their convergence, are given.