عنوان

Strategies for Quasi-Monte Carlo

(Number (ISBN

1461552214

(Number (ISBN

9781461552215

Number

b551190

Title Proper

Strategies for Quasi-Monte Carlo

General Material Designation

[Book]

First Statement of Responsibility

by Bennett L. Fox.

Place of Publication, Distribution, etc.

Boston, MA

Name of Publisher, Distributor, etc.

Springer US

Date of Publication, Distribution, etc.

1999

Specific Material Designation and Extent of Item

(xxxiv, 368 pages)

Series Title

International series in operations research & management science, 22.

Text of Note

1 Introduction --;1.1 Setting up the (X, Y)-decomposition --;1.2 Examples --;1.3 Antecedents --;1.4 Exploiting the (X, Y)-decomposition --;1.5 A hybrid with RQMC --;1.6 Generating Gaussian processes: foretaste --;1.7 Scope of recursive conditioning --;1.8 Ranking variables --;2 Smoothing --;2.1 Poisson case --;2.2 Separable problems --;2.3 Brownian motion --;finance --;PDEs --;2.4 The Poisson case revisted --;2.5 General considerations --;3 Generating Poisson Processes --;3.1 Computational complexity --;3.2 Variance --;3.3 The median-based method --;3.4 The terminal pass --;3.5 The midpoint-based method --;3.6 Stochastic geometry --;3.7 Extensions --;4 Permuting Order Statistics --;4.1 Motivating example --;4.2 Approach --;4.3 Relation to Latin supercubes --;4.4 Comparison of anomalies blockwise --;5 GENERATING BERNOULLI TRIALS --;5.1 The third tree-like algorithm --;5.2 Variance --;5.3 Extensions --;5.4 q-Blocks --;6 Generating Gaussian Processes --;6.1 Brownian-bridge methods --;6.2 Overview of remaining sections --;6.3 Principal-components methods --;6.4 Piecewise approach --;6.5 Gaussian random fields --;6.6 A negative result --;6.7 Linear-algebra software --;7 Smoothing Summation --;7.1 Smoothing the naive estimator --;7.2 Smoothing importance sampling --;7.3 Multiple indices? single index --;7.4 Properties --;7.5 Remarks --;8 Smoothing Variate Generation --;8.1 Applying it to one variate --;8.2 Applying it to several variates --;9 Analysis Of Variance --;9.1 Variance in the one-dimensional case --;9.2 Weakening the smoothness condition? --;9.3 Nested decomposition --;9.4 Dynamic blocks --;9.5 Stratification linked to quasi-Monte Carlo --;9.6 The second term --;10 Bernoulli Trials: Examples --;10.1 Linearity in trial indicators --;10.2 Continuous-state Markov chains --;10.3 Weight windows and skewness attenuation --;10.4 Network reliability --;11 Poisson Processes: Auxiliary Matter --;11.1 Generating ordered uniforms --;11.2 Generating betas --;11.3 Generating binomials --;11.4 Stratifying Poisson distributions --;11.5 Recursive variance quartering --;12 Background On Deterministic QMC --;12.1 The role of quasi-Monte Carlo --;12.2 Nets --;12.3 Discrepancy --;12.4 Truncating to get bounded variation --;12.5 Electronic access --;13 OPTIMIZATION --;13.1 Global optimization over the unit cube --;13.2 Dynamic programming over the unit cube --;13.3 Stochastic programming --;14 Background on Randomized QMC --;14.1 Randomizing nets --;14.2 Randomizing lattices --;14.3 Latin hypercubes --;14.4 Latin supercubes --;15 Pseudocodes --;15.1 Randomizing nets --;15.2 Poisson processes: via medians --;15.3 Poisson processes: via midpoints --;15.4 Bernoulli trials: via equipartitions --;15.5 Order statistics: positioning extremes --;15.6 Generating ordered uniforms --;15.7 Discrete summation: index recovery.

Text of Note

Strategies for Quasi-Monte Carlo builds a framework to design and analyze strategies for randomized quasi-Monte Carlo (RQMC).

Mathematical optimization.

Mathematics.

Systems theory.

Class number

Book number

by Bennett L. Fox.

Bennett L Fox

Electronic name

[Book]

Y