+612 9045 4394
Monte Carlo and Quasi-Monte Carlo Methods 1996 : Proceedings of a Conference at the University of Salzburg, Austria, July 9-12, 1996 - Harald Niederreiter

Monte Carlo and Quasi-Monte Carlo Methods 1996

Proceedings of a Conference at the University of Salzburg, Austria, July 9-12, 1996

By: Harald Niederreiter (Editor), P. Zinterhof (Editor), Peter Hellekalek (Editor), Gerhard Larcher (Editor)

Paperback Published: 14th November 1997
ISBN: 9780387983356
Number Of Pages: 450

Share This Book:


or 4 easy payments of $33.88 with Learn more
Ships in 7 to 10 business days

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.

Conference Participants
A Comparison of Some Monte Carlo and Quasi Monte Carlo Techniques for Option Pricingp. 1
Monte Carlo Methods: A Powerful Tool of Statistical Physicsp. 19
Binary Search Trees Based on Weyl and Lehmer Sequencesp. 40
A Survey of Quadratic and Inversive Congruential Pseudorandom Numbersp. 66
A Look at Multilevel Splittingp. 98
On the Distribution of Digital Sequencesp. 109
Random Number Generators and Empirical Testsp. 124
The Algebraic-Geometry Approach to Low-Discrepancy Sequencesp. 139
A Monte Carlo Estimator Based on a State Space Decomposition Methodology for Flow Network Reliabilityp. 161
Monte Carlo and Quasi-Monte Carlo Algorithms for a Linear Integro-Differential Equationp. 176
A Numerical Approach for Determination of Sources in Reactive Transport Equationsp. 189
Monte Carlo Algorithms for Calculating Eigenvaluesp. 205
Construction of Digital Nets from BCH-Codesp. 221
Discrepancy Lower Bounds for Special Quasi-Random Sequencesp. 232
Computing Discrepancies Related to Spaces of Smooth Periodic Functionsp. 238
On Correlation Analysis of Pseudorandom Numbersp. 251
Quasi-Monte Carlo, Discrepancies and Error Estimatesp. 266
The Quasi-Random Walkp. 277
Comparison of Independent and Stratified Sampling Schemes in Problems of Global Optimizationp. 292
The Rate of Convergence to a Stable Law for the Random Sum of HD Random Variablesp. 300
Some Bounds on the Figure of Merit of a Lattice Rulep. 308
Quasi-Monte Carlo Integration of Digitally Smooth Functions by Digital Netsp. 321
Weak Limits for the Diaphonyp. 330
Quasi-Monte Carlo Simulation of Random Walks in Financep. 340
Error Estimation for Quasi-Monte Carlo Methodsp. 353
Shift-Nets: A New Class of Binary Digital (t, m, s)-Netsp. 369
General Sequential Sampling Techniques for Monte Carlo Simulations: Part I - Matrix Problemsp. 382
Quasi-Monte Carlo Methods for Integral Equationsp. 398
Quadratic Congruential Generators with Odd Composite Modulusp. 415
A New Permutation Choice in Halton Sequencesp. 427
Optimal U-Type Designsp. 436
Table of Contents provided by Blackwell. All Rights Reserved.

ISBN: 9780387983356
ISBN-10: 038798335X
Series: Lecture Notes in Statistics
Audience: General
Format: Paperback
Language: English
Number Of Pages: 450
Published: 14th November 1997
Country of Publication: US
Dimensions (cm): 23.39 x 15.6  x 2.39
Weight (kg): 0.65