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New Monte Carlo Methods With Estimating Derivatives
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Book Synopsis New Monte Carlo Methods With Estimating Derivatives by : G. A. Mikhailov
Download or read book New Monte Carlo Methods With Estimating Derivatives written by G. A. Mikhailov and published by Walter de Gruyter GmbH & Co KG. This book was released on 2023-02-14 with total page 196 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Parametric Estimates by the Monte Carlo Method by : G. A. Mikhailov
Download or read book Parametric Estimates by the Monte Carlo Method written by G. A. Mikhailov and published by Walter de Gruyter GmbH & Co KG. This book was released on 2018-11-05 with total page 196 pages. Available in PDF, EPUB and Kindle. Book excerpt: No detailed description available for "Parametric Estimates by the Monte Carlo Method".
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
Book Synopsis Monte Carlo and Quasi-Monte Carlo Methods 2002 by : Harald Niederreiter
Download or read book Monte Carlo and Quasi-Monte Carlo Methods 2002 written by Harald Niederreiter and published by Springer Science & Business Media. This book was released on 2011-06-28 with total page 462 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
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
Book Synopsis Monte Carlo Methods for Applied Scientists by : Ivan Dimov
Download or read book Monte Carlo Methods for Applied Scientists written by Ivan Dimov and published by World Scientific. This book was released on 2008 with total page 308 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Numerical Methods and Applications by : Todor Boyanov
Download or read book Numerical Methods and Applications written by Todor Boyanov and published by Springer. This book was released on 2007-05-15 with total page 742 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
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.
Book Synopsis Computational Methods for Linear Integral Equations by : Prem Kythe
Download or read book Computational Methods for Linear Integral Equations written by Prem Kythe and published by Springer Science & Business Media. This book was released on 2002-04-26 with total page 530 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Adaptive Methods of Computing Mathematics and Mechanics by : Dmitrij G. Arsen'ev
Download or read book Adaptive Methods of Computing Mathematics and Mechanics written by Dmitrij G. Arsen'ev and published by World Scientific. This book was released on 1999 with total page 440 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Large-Scale Scientific Computing by : Ivan Lirkov
Download or read book Large-Scale Scientific Computing written by Ivan Lirkov and published by Springer Science & Business Media. This book was released on 2006-02-14 with total page 701 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book constitutes the thoroughly refereed post-proceedings of the 5th International Conference on Large-Scale Scientific Computations, LSSC 2005, held in Sozopol, Bulgaria in June 2005. The 75 revised full papers presented together with five invited papers were carefully reviewed and selected for inclusion in the book. The papers are organized in topical sections.
Book Synopsis Enumath 97 - Proceedings Of The Second European Conference On Numerical Mathematics And Advanced Applications by : Hans Georg Bock
Download or read book Enumath 97 - Proceedings Of The Second European Conference On Numerical Mathematics And Advanced Applications written by Hans Georg Bock and published by World Scientific. This book was released on 1998-11-06 with total page 692 pages. Available in PDF, EPUB and Kindle. Book excerpt: The ENUMATH conferences were established in 1995 in order to provide a forum for discussion on recent topics of numerical mathematics. They seek to bring together leading experts and young scientists, with special emphasis on contributions from Europe.In the second ENUMATH conference in 1997, recent results and new trends in the analysis of numerical algorithms as well as their application to challenging scientific and industrial problems were discussed. Apart from theoretical aspects, a major part of the conference was devoted to numerical methods in interdisciplinary applications.The topics covered in this proceedings include: higher order finite element methods, non-matching grids, least-squares methods for partial differential equations, multiscale analysis, boundary element method, optimization in partial differential equations, solid mechanics, microstructures, computational fluid dynamics, computational electrodynamics and semiconductors.
Book Synopsis Numerical Modelling of Random Processes and Fields by : V. A. Ogorodnikov
Download or read book Numerical Modelling of Random Processes and Fields written by V. A. Ogorodnikov and published by Walter de Gruyter GmbH & Co KG. This book was released on 2018-11-05 with total page 252 pages. Available in PDF, EPUB and Kindle. Book excerpt: No detailed description available for "Numerical Modelling of Random Processes and Fields".
Book Synopsis High-Performance Computing Infrastructure for South East Europe's Research Communities by : Mihnea Dulea
Download or read book High-Performance Computing Infrastructure for South East Europe's Research Communities written by Mihnea Dulea and published by Springer Science & Business Media. This book was released on 2013-08-13 with total page 177 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a collection of carefully reviewed papers presented during the HP-SEE User Forum, the meeting of the High-Performance Computing Infrastructure for South East Europe’s (HP-SEE) Research Communities, held in October 17-19, 2012, in Belgrade, Serbia. HP-SEE aims at supporting and integrating regional HPC infrastructures; implementing solutions for HPC in the region; and making HPC resources available to research communities in SEE, region, which are working in a number of scientific fields with specific needs for massively parallel execution on powerful computing resources. HP-SEE brings together research communities and HPC operators from 14 different countries and enables them to share HPC facilities, software, tools, data and research results, thus fostering collaboration and strengthening the regional and national human network; the project specifically supports research groups in the areas of computational physics, computational chemistry and the life sciences. The contributions presented in this book are organized in four main sections: computational physics; computational chemistry; the life sciences; and scientific computing and HPC operations.
Book Synopsis Numerical Analysis and Its Applications by : Zhilin Li
Download or read book Numerical Analysis and Its Applications written by Zhilin Li and published by Springer Science & Business Media. This book was released on 2005-02-21 with total page 642 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book constitutes the thoroughly refereed post-proceedings of the Third International Conference on Numerical Analysis and Its Applications, NAA 2004, held in Rousse, Bulgaria in June/July 2004. The 68 revised full papers presented together with 8 invited papers were carefully selected during two rounds of reviewing and improvement. All current aspects of numerical analysis are addressed. Among the application fields covered are computational sciences and engineering, chemistry, physics, economics, simulation, fluid dynamics, visualization, etc.
Book Synopsis Monte Carlo Simulation and Finance by : Don L. McLeish
Download or read book Monte Carlo Simulation and Finance written by Don L. McLeish and published by John Wiley & Sons. This book was released on 2011-09-13 with total page 308 pages. Available in PDF, EPUB and Kindle. Book excerpt: Monte Carlo methods have been used for decades in physics, engineering, statistics, and other fields. Monte Carlo Simulation and Finance explains the nuts and bolts of this essential technique used to value derivatives and other securities. Author and educator Don McLeish examines this fundamental process, and discusses important issues, including specialized problems in finance that Monte Carlo and Quasi-Monte Carlo methods can help solve and the different ways Monte Carlo methods can be improved upon. This state-of-the-art book on Monte Carlo simulation methods is ideal for finance professionals and students. Order your copy today.
Book Synopsis Modern Simulation and Modeling by : Reuven Y. Rubinstein
Download or read book Modern Simulation and Modeling written by Reuven Y. Rubinstein and published by Wiley-Interscience. This book was released on 1998-03-09 with total page 392 pages. Available in PDF, EPUB and Kindle. Book excerpt: A step-by-step guide for today's modeling and simulation practices This new guide for modeling and simulation of discrete-event systems (DES) demonstrates why simulation is fast becoming the method of choice for the evaluation of system performance in science, engineering, and management. The book begins with the basics of conventional simulation, then proceeds to modern simulation-treating sensitivity analysis and optimization in a wide range of systems that exhibit complex interaction of discrete events. These include communications networks, flexible manufacturing systems, PERT (project evaluation and review techniques) networks, queueing systems, and more. Less focused on theory than on presenting a clear approach to practical applications, Modern Simulation and Modeling: * Emphasizes concepts rather than mathematical completeness * Integrates references and explanations of complex topics into the body of the text * Provides an innovative chapter on rare-event probability estimation * Describes the implementation of the score function (SF) method using the NSO simulation package * Features 40 illustrations and numerous algorithms * Offers extensive, end-of-chapter exercise sets * Includes chapter bibliographies for further reading Modern Simulation and Modeling is an essential text for graduate students of DES and stochastic processes and for undergraduate students in simulation. It is also an excellent reference for professionals in statistics and probability, mathematics, and management science.
