Techniques For Efficient Monte Carlo Simulation Volume Iii Variance Reduction

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Monte Carlo Transport of Electrons and Photons

Author : T.M. Jenkins
Publisher : Springer Science & Business Media
ISBN 13 : 1461310598
Total Pages : 637 pages
Book Rating : 4.4/5 (613 download)

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Book Synopsis Monte Carlo Transport of Electrons and Photons by : T.M. Jenkins

Download or read book Monte Carlo Transport of Electrons and Photons written by T.M. Jenkins and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 637 pages. Available in PDF, EPUB and Kindle. Book excerpt: For ten days at the end of September, 1987, a group of about 75 scientists from 21 different countries gathered in a restored monastery on a 750 meter high piece of rock jutting out of the Mediterranean Sea to discuss the simulation of the transport of electrons and photons using Monte Carlo techniques. When we first had the idea for this meeting, Ralph Nelson, who had organized a previous course at the "Ettore Majorana" Centre for Scientific Culture, suggested that Erice would be the ideal place for such a meeting. Nahum, Nelson and Rogers became Co-Directors of the Course, with the help of Alessandro Rindi, the Director of the School of Radiation Damage and Protection, and Professor Antonino Zichichi, Director of the "Ettore Majorana" Centre. The course was an outstanding success, both scientifically and socially, and those at the meeting will carry the marks of having attended, both intellectually and on a personal level where many friendships were made. The scientific content of the course was at a very high caliber, both because of the hard work done by all the lecturers in preparing their lectures (e. g. , complete copies of each lecture were available at the beginning of the course) and because of the high quality of the "students", many of whom were accomplished experts in the field. The outstanding facilities of the Centre contributed greatly to the success. This volume contains the formal record of the course lectures.

Theory and Applications of Monte Carlo Simulations

Author : Victor Chan
Publisher :
ISBN 13 : 9789535157243
Total Pages : 286 pages
Book Rating : 4.1/5 (572 download)

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Book Synopsis Theory and Applications of Monte Carlo Simulations by : Victor Chan

Download or read book Theory and Applications of Monte Carlo Simulations written by Victor Chan and published by . This book was released on 2013 with total page 286 pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of this book is to introduce researchers and practitioners to recent advances and applications of Monte Carlo Simulation (MCS). Random sampling is the key of the MCS technique. The 11 chapters of this book collectively illustrates how such a sampling technique is exploited to solve difficult problems or analyze complex systems in various engineering and science domains. Issues related to the use of MCS including goodness-of-fit, uncertainty evaluation, variance reduction, optimization, and statistical estimation are discussed and examples of solutions are given. Novel applications of MCS are demonstrated in financial systems modeling, estimation of transition behavior of organic molecules, chemical reaction, particle diffusion, kinetic simulation of biophysics and biological data, and healthcare practices. To enlarge the accessibility of this book, both field-specific background materials and field-specific usages of MCS are introduced in most chapters. The aim of this book is to unify knowledge of MCS from different fields to facilitate research and new applications of MCS.

Handbook of Monte Carlo Methods

Author : Dirk P. Kroese
Publisher : John Wiley & Sons
ISBN 13 : 1118014952
Total Pages : 627 pages
Book Rating : 4.1/5 (18 download)

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Book Synopsis Handbook of Monte Carlo Methods by : Dirk P. Kroese

Download or read book Handbook of Monte Carlo Methods written by Dirk P. Kroese and published by John Wiley & Sons. This book was released on 2013-06-06 with total page 627 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Physically Based Rendering

Author : Matt Pharr
Publisher : Morgan Kaufmann
ISBN 13 : 0123750792
Total Pages : 1201 pages
Book Rating : 4.1/5 (237 download)

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Book Synopsis Physically Based Rendering by : Matt Pharr

Download or read book Physically Based Rendering written by Matt Pharr and published by Morgan Kaufmann. This book was released on 2010-06-28 with total page 1201 pages. Available in PDF, EPUB and Kindle. Book excerpt: This updated edition describes both the mathematical theory behind a modern photorealistic rendering system as well as its practical implementation. Through the ideas and software in this book, designers will learn to design and employ a full-featured rendering system for creating stunning imagery. Includes a companion site complete with source code for the rendering system described in the book, with support for Windows, OS X, and Linux.

Monte Carlo Methods in Financial Engineering

Author : Paul Glasserman
Publisher : Springer Science & Business Media
ISBN 13 : 0387216170
Total Pages : 603 pages
Book Rating : 4.3/5 (872 download)

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Book Synopsis Monte Carlo Methods in Financial Engineering by : Paul Glasserman

Download or read book Monte Carlo Methods in Financial Engineering written by Paul Glasserman and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 603 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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

Forecasting Economic Time Series

Author : Michael Clements
Publisher : Cambridge University Press
ISBN 13 : 9780521634809
Total Pages : 402 pages
Book Rating : 4.6/5 (348 download)

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Book Synopsis Forecasting Economic Time Series by : Michael Clements

Download or read book Forecasting Economic Time Series written by Michael Clements and published by Cambridge University Press. This book was released on 1998-10-08 with total page 402 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a formal analysis of the models, procedures, and measures of economic forecasting with a view to improving forecasting practice. David Hendry and Michael Clements base the analyses on assumptions pertinent to the economies to be forecast, viz. a non-constant, evolving economic system, and econometric models whose form and structure are unknown a priori. The authors find that conclusions which can be established formally for constant-parameter stationary processes and correctly-specified models often do not hold when unrealistic assumptions are relaxed. Despite the difficulty of proceeding formally when models are mis-specified in unknown ways for non-stationary processes that are subject to structural breaks, Hendry and Clements show that significant insights can be gleaned. For example, a formal taxonomy of forecasting errors can be developed, the role of causal information clarified, intercept corrections re-established as a method for achieving robustness against forms of structural change, and measures of forecast accuracy re-interpreted.

Exploring Monte Carlo Methods

Author : William L. Dunn
Publisher : Elsevier
ISBN 13 : 0128197455
Total Pages : 594 pages
Book Rating : 4.1/5 (281 download)

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Book Synopsis Exploring Monte Carlo Methods by : William L. Dunn

Download or read book Exploring Monte Carlo Methods written by William L. Dunn and published by Elsevier. This book was released on 2022-06-07 with total page 594 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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

Encyclopedia of Operations Research and Management Science

Author : Saul I. Gass
Publisher : Springer Science & Business Media
ISBN 13 : 1461304598
Total Pages : 774 pages
Book Rating : 4.4/5 (613 download)

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Book Synopsis Encyclopedia of Operations Research and Management Science by : Saul I. Gass

Download or read book Encyclopedia of Operations Research and Management Science written by Saul I. Gass and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 774 pages. Available in PDF, EPUB and Kindle. Book excerpt: Operations Research: 1934-1941," 35, 1, 143-152; "British The goal of the Encyclopedia of Operations Research and Operational Research in World War II," 35, 3, 453-470; Management Science is to provide to decision makers and "U. S. Operations Research in World War II," 35, 6, 910-925; problem solvers in business, industry, government and and the 1984 article by Harold Lardner that appeared in academia a comprehensive overview of the wide range of Operations Research: "The Origin of Operational Research," ideas, methodologies, and synergistic forces that combine to 32, 2, 465-475. form the preeminent decision-aiding fields of operations re search and management science (OR/MS). To this end, we The Encyclopedia contains no entries that define the fields enlisted a distinguished international group of academics of operations research and management science. OR and MS and practitioners to contribute articles on subjects for are often equated to one another. If one defines them by the which they are renowned. methodologies they employ, the equation would probably The editors, working with the Encyclopedia's Editorial stand inspection. If one defines them by their historical Advisory Board, surveyed and divided OR/MS into specific developments and the classes of problems they encompass, topics that collectively encompass the foundations, applica the equation becomes fuzzy. The formalism OR grew out of tions, and emerging elements of this ever-changing field. We the operational problems of the British and U. s. military also wanted to establish the close associations that OR/MS efforts in World War II.

Monte Carlo and Quasi-Monte Carlo Methods 2000

Author : Kai-Tai Fang
Publisher : Springer Science & Business Media
ISBN 13 : 3642560466
Total Pages : 570 pages
Book Rating : 4.6/5 (425 download)

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Book Synopsis Monte Carlo and Quasi-Monte Carlo Methods 2000 by : Kai-Tai Fang

Download or read book Monte Carlo and Quasi-Monte Carlo Methods 2000 written by Kai-Tai Fang and published by Springer Science & Business Media. This book was released on 2011-06-28 with total page 570 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book represents the refereed proceedings of the Fourth International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing which was held at Hong Kong Baptist University in 2000. An important feature are invited surveys of the state-of-the-art in key areas such as multidimensional numerical integration, low-discrepancy point sets, random number generation, and applications of Monte Carlo and quasi-Monte Carlo methods. These proceedings include also 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 field.

Nuclear Science Abstracts

Author :
Publisher :
ISBN 13 :
Total Pages : 1162 pages
Book Rating : 4.0/5 ( download)

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Book Synopsis Nuclear Science Abstracts by :

Download or read book Nuclear Science Abstracts written by and published by . This book was released on 1975-06 with total page 1162 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Conditional Monte Carlo

Author : Michael C. Fu
Publisher : Springer Science & Business Media
ISBN 13 : 1461562937
Total Pages : 411 pages
Book Rating : 4.4/5 (615 download)

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Book Synopsis Conditional Monte Carlo by : Michael C. Fu

Download or read book Conditional Monte Carlo written by Michael C. Fu and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 411 pages. Available in PDF, EPUB and Kindle. Book excerpt: Conditional Monte Carlo: Gradient Estimation and Optimization Applications deals with various gradient estimation techniques of perturbation analysis based on the use of conditional expectation. The primary setting is discrete-event stochastic simulation. This book presents applications to queueing and inventory, and to other diverse areas such as financial derivatives, pricing and statistical quality control. To researchers already in the area, this book offers a unified perspective and adequately summarizes the state of the art. To researchers new to the area, this book offers a more systematic and accessible means of understanding the techniques without having to scour through the immense literature and learn a new set of notation with each paper. To practitioners, this book provides a number of diverse application areas that makes the intuition accessible without having to fully commit to understanding all the theoretical niceties. In sum, the objectives of this monograph are two-fold: to bring together many of the interesting developments in perturbation analysis based on conditioning under a more unified framework, and to illustrate the diversity of applications to which these techniques can be applied. Conditional Monte Carlo: Gradient Estimation and Optimization Applications is suitable as a secondary text for graduate level courses on stochastic simulations, and as a reference for researchers and practitioners in industry.

Advances in Mathematical Finance

Author : Michael C. Fu
Publisher : Springer Science & Business Media
ISBN 13 : 0817645454
Total Pages : 345 pages
Book Rating : 4.8/5 (176 download)

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Book Synopsis Advances in Mathematical Finance by : Michael C. Fu

Download or read book Advances in Mathematical Finance written by Michael C. Fu and published by Springer Science & Business Media. This book was released on 2007-06-22 with total page 345 pages. Available in PDF, EPUB and Kindle. Book excerpt: This self-contained volume brings together a collection of chapters by some of the most distinguished researchers and practitioners in the field of mathematical finance and financial engineering. Presenting state-of-the-art developments in theory and practice, the book has real-world applications to fixed income models, credit risk models, CDO pricing, tax rebates, tax arbitrage, and tax equilibrium. It is a valuable resource for graduate students, researchers, and practitioners in mathematical finance and financial engineering.

Monte Carlo Methods

Author : Malvin H. Kalos
Publisher : John Wiley & Sons
ISBN 13 : 352761740X
Total Pages : 195 pages
Book Rating : 4.5/5 (276 download)

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Book Synopsis Monte Carlo Methods by : Malvin H. Kalos

Download or read book Monte Carlo Methods written by Malvin H. Kalos and published by John Wiley & Sons. This book was released on 2008-09-26 with total page 195 pages. Available in PDF, EPUB and Kindle. Book excerpt: This introduction to Monte Carlo Methods seeks to identify and study the unifying elements that underlie their effective application. It focuses on two basic themes. The first is the importance of random walks as they occur both in natural stochastic systems and in their relationship to integral and differential equations. The second theme is that of variance reduction in general and importance sampling in particular as a technique for efficient use of the methods. Random walks are introduced with an elementary example in which the modelling of radiation transport arises directly from a schematic probabilistic description of the interaction of radiation with matter. Building on that example, the relationship between random walks and integral equations is outlined. The applicability of these ideas to other problems is shown by a clear and elementary introduction to the solution of the Schrodinger equation by random walks. The detailed discussion of variance reduction includes Monte Carlo evaluation of finite-dimensional integrals. Special attention is given to importance sampling, partly because of its intrinsic interest in quadrature, partly because of its general usefulness in the solution of integral equations. One significant feature is that Monte Carlo Methods treats the "Metropolis algorithm" in the context of sampling methods, clearly distinguishing it from importance sampling. Physicists, chemists, statisticians, mathematicians, and computer scientists will find Monte Carlo Methods a complete and stimulating introduction.

Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing

Author : Harald Niederreiter
Publisher : Springer Science & Business Media
ISBN 13 : 1461225523
Total Pages : 391 pages
Book Rating : 4.4/5 (612 download)

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Book Synopsis Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing by : Harald Niederreiter

Download or read book Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing written by Harald Niederreiter and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 391 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Monte Carlo and Quasi-Monte Carlo Sampling

Author : Christiane Lemieux
Publisher : Springer Science & Business Media
ISBN 13 : 038778165X
Total Pages : 373 pages
Book Rating : 4.3/5 (877 download)

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Book Synopsis Monte Carlo and Quasi-Monte Carlo Sampling by : Christiane Lemieux

Download or read book Monte Carlo and Quasi-Monte Carlo Sampling written by Christiane Lemieux and published by Springer Science & Business Media. This book was released on 2009-04-03 with total page 373 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Applications of Number Theory to Numerical Analysis

Author : L.-K. Hua
Publisher : Springer Science & Business Media
ISBN 13 : 3642678297
Total Pages : 252 pages
Book Rating : 4.6/5 (426 download)

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Book Synopsis Applications of Number Theory to Numerical Analysis by : L.-K. Hua

Download or read book Applications of Number Theory to Numerical Analysis written by L.-K. Hua and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 252 pages. Available in PDF, EPUB and Kindle. Book excerpt: Owing to the developments and applications of computer science, ma thematicians began to take a serious interest in the applications of number theory to numerical analysis about twenty years ago. The progress achieved has been both important practically as well as satisfactory from the theoretical view point. It'or example, from the seventeenth century till now, a great deal of effort was made in developing methods for approximating single integrals and there were only a few works on multiple quadrature until the 1950's. But in the past twenty years, a number of new methods have been devised of which the number theoretic method is an effective one. The number theoretic method may be described as follows. We use num ber theory to construct a sequence of uniformly distributed sets in the s dimensional unit cube G , where s ~ 2. Then we use the sequence to s reduce a difficult analytic problem to an arithmetic problem which may be calculated by computer. For example, we may use the arithmetic mean of the values of integrand in a given uniformly distributed set of G to ap s proximate the definite integral over G such that the principal order of the s error term is shown to be of the best possible kind, if the integrand satis fies certain conditions.

Handbook in Monte Carlo Simulation

Author : Paolo Brandimarte
Publisher : John Wiley & Sons
ISBN 13 : 1118594517
Total Pages : 620 pages
Book Rating : 4.1/5 (185 download)

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Book Synopsis Handbook in Monte Carlo Simulation by : Paolo Brandimarte

Download or read book Handbook in Monte Carlo Simulation written by Paolo Brandimarte and published by John Wiley & Sons. This book was released on 2014-06-20 with total page 620 pages. Available in PDF, EPUB and Kindle. Book excerpt: An accessible treatment of Monte Carlo methods, techniques, and applications in the field of finance and economics Providing readers with an in-depth and comprehensive guide, the Handbook in Monte Carlo Simulation: Applications in Financial Engineering, Risk Management, and Economics presents a timely account of the applicationsof Monte Carlo methods in financial engineering and economics. Written by an international leading expert in thefield, the handbook illustrates the challenges confronting present-day financial practitioners and provides various applicationsof Monte Carlo techniques to answer these issues. The book is organized into five parts: introduction andmotivation; input analysis, modeling, and estimation; random variate and sample path generation; output analysisand variance reduction; and applications ranging from option pricing and risk management to optimization. The Handbook in Monte Carlo Simulation features: An introductory section for basic material on stochastic modeling and estimation aimed at readers who may need a summary or review of the essentials Carefully crafted examples in order to spot potential pitfalls and drawbacks of each approach An accessible treatment of advanced topics such as low-discrepancy sequences, stochastic optimization, dynamic programming, risk measures, and Markov chain Monte Carlo methods Numerous pieces of R code used to illustrate fundamental ideas in concrete terms and encourage experimentation The Handbook in Monte Carlo Simulation: Applications in Financial Engineering, Risk Management, and Economics is a complete reference for practitioners in the fields of finance, business, applied statistics, econometrics, and engineering, as well as a supplement for MBA and graduate-level courses on Monte Carlo methods and simulation.