Contributions to the Theory of Monte Carlo and Quasi-Monte Carlo Methods
Title | Contributions to the Theory of Monte Carlo and Quasi-Monte Carlo Methods PDF eBook |
Author | Giray Okten |
Publisher | Universal-Publishers |
Total Pages | 91 |
Release | 1999 |
Genre | Mathematics |
ISBN | 1581120419 |
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.
Contributions to the Theory of Monte Carlo and Quasi-Monte Carlo Methods
Title | Contributions to the Theory of Monte Carlo and Quasi-Monte Carlo Methods PDF eBook |
Author | Gi̇ray Ökten |
Publisher | |
Total Pages | 162 |
Release | 1997 |
Genre | Monte Carlo method |
ISBN |
Monte Carlo and Quasi-Monte Carlo Sampling
Title | Monte Carlo and Quasi-Monte Carlo Sampling PDF eBook |
Author | Christiane Lemieux |
Publisher | Springer Science & Business Media |
Total Pages | 373 |
Release | 2009-04-03 |
Genre | Mathematics |
ISBN | 038778165X |
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.
Contributions to the Theory of Error Reduction in Quasi-Monte Carlo Methods
Title | Contributions to the Theory of Error Reduction in Quasi-Monte Carlo Methods PDF eBook |
Author | Earl H. Maize |
Publisher | |
Total Pages | 306 |
Release | 1981 |
Genre | Error analysis (Mathematics) |
ISBN |
Monte Carlo and Quasi-Monte Carlo Methods
Title | Monte Carlo and Quasi-Monte Carlo Methods PDF eBook |
Author | Bruno Tuffin |
Publisher | Springer Nature |
Total Pages | 533 |
Release | 2020-05-01 |
Genre | Computers |
ISBN | 3030434656 |
This book presents the refereed proceedings of the 13th International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing that was held at the University of Rennes, France, and organized by Inria, in July 2018. These biennial conferences are major events for Monte Carlo and quasi-Monte Carlo researchers. 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. Offering information on the latest developments in these very active areas, this book is an excellent reference resource for theoreticians and practitioners interested in solving high-dimensional computational problems, arising, in particular, in finance, statistics and computer graphics.
Modeling Uncertainty
Title | Modeling Uncertainty PDF eBook |
Author | Moshe Dror |
Publisher | Springer Science & Business Media |
Total Pages | 810 |
Release | 2002-01-31 |
Genre | Business & Economics |
ISBN | 9780792374633 |
Writing in honour of Sid Yakowitz, 50 internationally known scholars have collectively contributed 30 papers on modelling uncertainty to this volume. These include papers with a theoretical emphasis and others that focus on applications.
Monte Carlo and Quasi-Monte Carlo Methods
Title | Monte Carlo and Quasi-Monte Carlo Methods PDF eBook |
Author | Art B. Owen |
Publisher | Springer |
Total Pages | 479 |
Release | 2018-07-03 |
Genre | Computers |
ISBN | 3319914367 |
This book presents the refereed proceedings of the Twelfth International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing that was held at Stanford University (California) in August 2016. These biennial conferences are major events for Monte Carlo and quasi-Monte Carlo researchers. 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. Offering information on the latest developments in these very active areas, this book is an excellent reference resource for theoreticians and practitioners interested in solving high-dimensional computational problems, arising in particular, in finance, statistics, computer graphics and the solution of PDEs.