Random And Quasi Random Point Sets
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Random And Quasi Random Point Sets
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Author : Peter Hellekalek
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Random And Quasi Random Point Sets written by Peter Hellekalek 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 2012-12-06 with Mathematics categories.
This volume is a collection of survey papers on recent developments in the fields of quasi-Monte Carlo methods and uniform random number generation. We will cover a broad spectrum of questions, from advanced metric number theory to pricing financial derivatives. The Monte Carlo method is one of the most important tools of system modeling. Deterministic algorithms, so-called uniform random number gen erators, are used to produce the input for the model systems on computers. Such generators are assessed by theoretical ("a priori") and by empirical tests. In the a priori analysis, we study figures of merit that measure the uniformity of certain high-dimensional "random" point sets. The degree of uniformity is strongly related to the degree of correlations within the random numbers. The quasi-Monte Carlo approach aims at improving the rate of conver gence in the Monte Carlo method by number-theoretic techniques. It yields deterministic bounds for the approximation error. The main mathematical tool here are so-called low-discrepancy sequences. These "quasi-random" points are produced by deterministic algorithms and should be as "super" uniformly distributed as possible. Hence, both in uniform random number generation and in quasi-Monte Carlo methods, we study the uniformity of deterministically generated point sets in high dimensions. By a (common) abuse oflanguage, one speaks of random and quasi-random point sets. The central questions treated in this book are (i) how to generate, (ii) how to analyze, and (iii) how to apply such high-dimensional point sets.
Random And Quasi Random Point Sets
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Author : Peter Hellekalek
language : en
Publisher: Springer
Release Date : 1998-10-09
Random And Quasi Random Point Sets written by Peter Hellekalek and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998-10-09 with Mathematics categories.
This volume is a collection of survey papers on recent developments in the fields of quasi-Monte Carlo methods and uniform random number generation. We will cover a broad spectrum of questions, from advanced metric number theory to pricing financial derivatives. The Monte Carlo method is one of the most important tools of system modeling. Deterministic algorithms, so-called uniform random number gen erators, are used to produce the input for the model systems on computers. Such generators are assessed by theoretical ("a priori") and by empirical tests. In the a priori analysis, we study figures of merit that measure the uniformity of certain high-dimensional "random" point sets. The degree of uniformity is strongly related to the degree of correlations within the random numbers. The quasi-Monte Carlo approach aims at improving the rate of conver gence in the Monte Carlo method by number-theoretic techniques. It yields deterministic bounds for the approximation error. The main mathematical tool here are so-called low-discrepancy sequences. These "quasi-random" points are produced by deterministic algorithms and should be as "super" uniformly distributed as possible. Hence, both in uniform random number generation and in quasi-Monte Carlo methods, we study the uniformity of deterministically generated point sets in high dimensions. By a (common) abuse oflanguage, one speaks of random and quasi-random point sets. The central questions treated in this book are (i) how to generate, (ii) how to analyze, and (iii) how to apply such high-dimensional point sets.
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.
Monte Carlo And Quasi Monte Carlo Methods 1996
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Author : Harald Niederreiter
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
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 2012-12-06 with Mathematics 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 Sampling
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Author : Christiane Lemieux
language : en
Publisher: Springer Science & Business Media
Release Date : 2009-04-03
Monte Carlo And Quasi Monte Carlo Sampling written by Christiane Lemieux 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 2009-04-03 with Mathematics categories.
Quasi–Monte Carlo methods have become an increasingly popular alternative to Monte Carlo methods over the last two decades. Their successful implementation on practical problems, especially in finance, has motivated the development of several new research areas within this field to which practitioners and researchers from various disciplines currently contribute. This book presents essential tools for using quasi–Monte Carlo sampling in practice. The first part of the book focuses on issues related to Monte Carlo methods—uniform and non-uniform random number generation, variance reduction techniques—but the material is presented to prepare the readers for the next step, which is to replace the random sampling inherent to Monte Carlo by quasi–random sampling. The second part of the book deals with this next step. Several aspects of quasi-Monte Carlo methods are covered, including constructions, randomizations, the use of ANOVA decompositions, and the concept of effective dimension. The third part of the book is devoted to applications in finance and more advanced statistical tools like Markov chain Monte Carlo and sequential Monte Carlo, with a discussion of their quasi–Monte Carlo counterpart. The prerequisites for reading this book are a basic knowledge of statistics and enough mathematical maturity to follow through the various techniques used throughout the book. This text is aimed at graduate students in statistics, management science, operations research, engineering, and applied mathematics. It should also be useful to practitioners who want to learn more about Monte Carlo and quasi–Monte Carlo methods and researchers interested in an up-to-date guide to these methods.
Uniform Distribution And Quasi Monte Carlo Methods
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Author : Peter Kritzer
language : en
Publisher: Walter de Gruyter GmbH & Co KG
Release Date : 2014-06-23
Uniform Distribution And Quasi Monte Carlo Methods written by Peter Kritzer 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 2014-06-23 with Mathematics categories.
This book is summarizing the results of the workshop "Uniform Distribution and Quasi-Monte Carlo Methods" of the RICAM Special Semester on "Applications of Algebra and Number Theory" in October 2013. The survey articles in this book focus on number theoretic point constructions, uniform distribution theory, and quasi-Monte Carlo methods. As deterministic versions of the Monte Carlo method, quasi-Monte Carlo rules enjoy increasing popularity, with many fruitful applications in mathematical practice, as for example in finance, computer graphics, and biology. The goal of this book is to give an overview of recent developments in uniform distribution theory, quasi-Monte Carlo methods, and their applications, presented by leading experts in these vivid fields of research.
Monte Carlo And Quasi Monte Carlo Methods In Scientific Computing
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Author : Harald Niederreiter
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Monte Carlo And Quasi Monte Carlo Methods In Scientific Computing 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 2012-12-06 with Mathematics categories.
Scientists and engineers are increasingly making use of simulation methods to solve problems which are insoluble by analytical techniques. Monte Carlo methods which make use of probabilistic simulations are frequently used in areas such as numerical integration, complex scheduling, queueing networks, and large-dimensional simulations. This collection of papers arises from a conference held at the University of Nevada, Las Vegas, in 1994. The conference brought together researchers across a range of disciplines whose interests include the theory and application of these methods. This volume provides a timely survey of this field and the new directions in which the field is moving.
Handbook Of Monte Carlo Methods
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Author : Dirk P. Kroese
language : en
Publisher: John Wiley & Sons
Release Date : 2013-06-06
Handbook Of Monte Carlo Methods written by Dirk P. Kroese 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 2013-06-06 with Mathematics categories.
A comprehensive overview of Monte Carlo simulation that explores the latest topics, techniques, and real-world applications More and more of today’s numerical problems found in engineering and finance are solved through Monte Carlo methods. The heightened popularity of these methods and their continuing development makes it important for researchers to have a comprehensive understanding of the Monte Carlo approach. Handbook of Monte Carlo Methods provides the theory, algorithms, and applications that helps provide a thorough understanding of the emerging dynamics of this rapidly-growing field. The authors begin with a discussion of fundamentals such as how to generate random numbers on a computer. Subsequent chapters discuss key Monte Carlo topics and methods, including: Random variable and stochastic process generation Markov chain Monte Carlo, featuring key algorithms such as the Metropolis-Hastings method, the Gibbs sampler, and hit-and-run Discrete-event simulation Techniques for the statistical analysis of simulation data including the delta method, steady-state estimation, and kernel density estimation Variance reduction, including importance sampling, latin hypercube sampling, and conditional Monte Carlo Estimation of derivatives and sensitivity analysis Advanced topics including cross-entropy, rare events, kernel density estimation, quasi Monte Carlo, particle systems, and randomized optimization The presented theoretical concepts are illustrated with worked examples that use MATLAB®, a related Web site houses the MATLAB® code, allowing readers to work hands-on with the material and also features the author's own lecture notes on Monte Carlo methods. Detailed appendices provide background material on probability theory, stochastic processes, and mathematical statistics as well as the key optimization concepts and techniques that are relevant to Monte Carlo simulation. Handbook of Monte Carlo Methods is an excellent reference for applied statisticians and practitioners working in the fields of engineering and finance who use or would like to learn how to use Monte Carlo in their research. It is also a suitable supplement for courses on Monte Carlo methods and computational statistics at the upper-undergraduate and graduate levels.
Circuit Design
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Author : Stephan Weber
language : en
Publisher: CRC Press
Release Date : 2022-09-01
Circuit Design written by Stephan Weber and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-09-01 with Science categories.
Circuit Design = Science + Art! Designers need a skilled "gut feeling" about circuits and related analytical techniques, plus creativity, to solve all problems and to adhere to the specifications, the written and the unwritten ones. You must anticipate a large number of influences, like temperature effects, supply voltages changes, offset voltages, layout parasitics, and numerous kinds of technology variations to end up with a circuit that works. This is challenging for analog, custom-digital, mixed-signal or RF circuits, and often researching new design methods in relevant journals, conference proceedings and design tools unfortunately gives the impression that just a "wild bunch" of "advanced techniques" exist. On the other hand, state-of-the-art tools nowadays indeed offer a good cockpit to steer the design flow, which include clever statistical methods and optimization techniques.Actually, this almost presents a second breakthrough, like the introduction of circuit simulators 40 years ago! Users can now conveniently analyse all the problems (discover, quantify, verify), and even exploit them, for example for optimization purposes. Most designers are caught up on everyday problems, so we fit that "wild bunch" into a systematic approach for variation-aware design, a designer's field guide and more. That is where this book can help! Circuit Design: Anticipate, Analyze, Exploit Variations starts with best-practise manual methods and links them tightly to up-to-date automation algorithms. We provide many tractable examples and explain key techniques you have to know. We then enable you to select and setup suitable methods for each design task - knowing their prerequisites, advantages and, as too often overlooked, their limitations as well. The good thing with computers is that you yourself can often verify amazing things with little effort, and you can use software not only to your direct advantage in solving a specific problem, but also for becoming a better skilled, more experienced engineer. Unfortunately, EDA design environments are not good at all to learn about advanced numerics. So with this book we also provide two apps for learning about statistic and optimization directly with circuit-related examples, and in real-time so without the long simulation times. This helps to develop a healthy statistical gut feeling for circuit design. The book is written for engineers, students in engineering and CAD / methodology experts. Readers should have some background in standard design techniques like entering a design in a schematic capture and simulating it, and also know about major technology aspects.
Observation Theory And Modeling Of Atmospheric Variability Selected Papers Of Nanjing Institute Of Meteorology Alumni In Commemoration Of Professor Jijia Zhang
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Author : Xun Zhu
language : en
Publisher: World Scientific
Release Date : 2004-02-25
Observation Theory And Modeling Of Atmospheric Variability Selected Papers Of Nanjing Institute Of Meteorology Alumni In Commemoration Of Professor Jijia Zhang written by Xun Zhu and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004-02-25 with Science categories.
This book contains tutorial and review articles as well as specific research letters that cover a wide range of topics: (1) dynamics of atmospheric variability from both basic theory and data analysis, (2) physical and mathematical problems in climate modeling and numerical weather prediction, (3) theories of atmospheric radiative transfer and their applications in satellite remote sensing, and (4) mathematical and statistical methods. The book can be used by undergraduates or graduate students majoring in atmospheric sciences, as an introduction to various research areas; and by researchers and educators, as a general review or quick reference in their fields of interest.