Monte Carlo and Quasi-Monte Carlo Methods MCQMC, Leuven, Belgium, April 2014 /

This book presents the refereed proceedings of the Eleventh International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing that was held at the University of Leuven (Belgium) in April 2014. These biennial conferences are major events for Monte Carlo and quasi-Monte Car...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor Corporativo: SpringerLink (Online service)
Otros Autores: Cools, Ronald (Editor ), Nuyens, Dirk (Editor )
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Cham : Springer International Publishing : Imprint: Springer, 2016.
Edición:1st ed. 2016.
Colección:Springer Proceedings in Mathematics & Statistics, 163
Temas:
Mathematics-Data processing.
Mathematics.
Computational Mathematics and Numerical Analysis.
Applications of Mathematics.
Acceso en línea:Texto Completo
Tabla de Contenidos:
  • Part I Invited papers
  • Multilevel Monte Carlo Implementation for SDEs driven by Truncated Stable Processes
  • Construction of a Mean Square Error Adaptive Euler-Maruyama Method With Applications in Multilevel Monte Carlo
  • Vandermonde Nets and Vandermonde Sequences
  • Path Space Markov Chain Monte Carlo Methods in Computer Graphics
  • Walsh Figure of Merit for Digital Nets: An Easy Measure for Higher Order Convergent QMC
  • Some Results on the Complexity of Numerical Integration
  • Approximate Bayesian Computation: A Survey on Recent Results
  • Part II Contributed papers
  • Multilevel Monte Carlo Simulation of Statistical Solutions to the Navier-Stokes Equations
  • Unbiased Simulation of Distributions with Explicitly Known Integral Transforms
  • Central Limit Theorem for Adaptive Multilevel Splitting Estimators in an Idealized Setting
  • Comparison between LS-Sequences and β -adic van der Corput Sequences
  • Computational Higher Order Quasi-Monte Carlo Integration
  • Numerical Computation of Multivariate Normal Probabilities using Bivariate Conditioning
  • Non-nested Adaptive Timesteps in Multilevel Monte Carlo Computations
  • On ANOVA Decompositions of Kernels and Gaussian Random Field Paths
  • The Mean Square Quasi-Monte Carlo Error for Digitally Shifted Digital Nets
  • Uncertainty and Robustness in Weather Derivative Models
  • Reliable Adaptive Cubature Using Digital Sequences
  • Optimal Point Sets for Quasi-Monte Carlo Integration of Bivariate Periodic Functions with Bounded Mixed Derivatives
  • Adaptive Multidimensional Integration Based on Rank-1 Lattices
  • Path Space Filtering
  • Tractability of Multivariate Integration in Hybrid Function Spaces
  • Derivative-based Global Sensitivity Measures and Their Link with Sobol' Sensitivity Indices
  • Bernstein Numbers and Lower Bounds for the Monte Carlo Error
  • A Note on the Importance of Weak Convergence Rates for SPDE Approximations in Multilevel Monte Carlo Schemes
  • A Strategy for Parallel Implementations of Stochastic Lagrangian Simulation
  • A New Rejection Sampling Method for Truncated Multivariate Gaussian Random Variables Restricted to Convex Sets
  • Van der Corput and Golden Ratio Sequences Along the Hilbert Space-Filling Curve
  • Uniform Weak Tractability of Weighted Integration
  • Incremental Greedy Algorithm and Its Applications in Numerical Integration
  • On "Upper Error Bounds for Quadrature Formulas on Function Classes" by K K Frolov
  • Tractability of Function Approximation With Product Kernels
  • Discrepancy Estimates for Acceptance-Rejection Samplers Using Stratified Inputs
  • List of Participants
  • Index.

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