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381,037
Asynchronous QuasiMonte Carlo Methods
, 2000
"... Abstract We present an asynchronous algorithm based on QuasiMonte Carlo methods for the computation of multivariate integrals. Randomized Korobov and Richtmyer sequences are applied for problems of moderately high to high dimensions. We propose the use of Sobol rules in those dimensions where the i ..."
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Cited by 3 (0 self)
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Abstract We present an asynchronous algorithm based on QuasiMonte Carlo methods for the computation of multivariate integrals. Randomized Korobov and Richtmyer sequences are applied for problems of moderately high to high dimensions. We propose the use of Sobol rules in those dimensions where
QuasiMonte Carlo methods for Choquet integrals
, 2014
"... We propose numerical integration methods for Choquet integrals where the capacities are given by distortion functions of an underlying probability measure. It relies on the explicit representation of the integrals for step functions and can be seen as quasiMonte Carlo methods in this framework. We ..."
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We propose numerical integration methods for Choquet integrals where the capacities are given by distortion functions of an underlying probability measure. It relies on the explicit representation of the integrals for step functions and can be seen as quasiMonte Carlo methods in this framework. We
ENHANCED QUASIMONTE CARLO METHODS WITH DIMENSION REDUCTION
, 2003
"... In recent years, the quasiMonte Carlo approach for pricing highdimensional derivative securities has been used widely relative to other competitive approaches such as the Monte Carlo methods. Such success can be, in part, attributed to the notion of effective dimension of the finance problems. In ..."
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In recent years, the quasiMonte Carlo approach for pricing highdimensional derivative securities has been used widely relative to other competitive approaches such as the Monte Carlo methods. Such success can be, in part, attributed to the notion of effective dimension of the finance problems
Time Series Simulation with Quasi Monte Carlo Methods
, 2000
"... This paper compares quasi Monte Carlo methods, in particular so– called (t, m, s)–nets, with classical Monte Carlo approaches for simulating econometric time–series models. Quasi Monte Carlo methods have found successful application in many fields, such as physics, image processing, and the evaluati ..."
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This paper compares quasi Monte Carlo methods, in particular so– called (t, m, s)–nets, with classical Monte Carlo approaches for simulating econometric time–series models. Quasi Monte Carlo methods have found successful application in many fields, such as physics, image processing
QuasiMonte Carlo Methods for Simulation
 PROCEEDINGS OF THE 2003 WINTER SIMULATION CONFERENCE
, 2003
"... QuasiMonte Carlo (QMC) methods are numerical techniques for estimating largedimensional integrals, usually over the unit hypercube. They can be applied, at least in principle, to any simulation whose aim is to estimate a mathematical expectation. This covers a very wide range of applications. ..."
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Cited by 1 (0 self)
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QuasiMonte Carlo (QMC) methods are numerical techniques for estimating largedimensional integrals, usually over the unit hypercube. They can be applied, at least in principle, to any simulation whose aim is to estimate a mathematical expectation. This covers a very wide range of applications.
QUASIMONTE CARLO METHODS IN FINANCE
"... We review the basic principles of QuasiMonte Carlo (QMC) methods, the randomizations that turn them into variancereduction techniques, and the main classes of constructions underlying their implementations: lattice rules, digital nets, and permutations in different bases. QMC methods are designed t ..."
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We review the basic principles of QuasiMonte Carlo (QMC) methods, the randomizations that turn them into variancereduction techniques, and the main classes of constructions underlying their implementations: lattice rules, digital nets, and permutations in different bases. QMC methods are designed
Applications of quasiMonte Carlo methods in survey inference
"... This work aims at proposing a new method for estimating variances of complex survey estimators based on the recent developments in quasiMonte Carlo methods. It can be effectively used to create replication schemes in complex surveys where the mathematically elegant schemes such as balanced repeated ..."
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This work aims at proposing a new method for estimating variances of complex survey estimators based on the recent developments in quasiMonte Carlo methods. It can be effectively used to create replication schemes in complex surveys where the mathematically elegant schemes such as balanced
QuasiMonte Carlo methods in robust control design
 Proceedings IEEE Conference on Decision and Control
, 2003
"... Many practical control problems are so complex that traditional analysis and design methods fail to solve. Consequently, in recent years probabilistic methods that provide approximate solutions to such ’difficult’ problems have emerged. Unfortunately, the uniform random sampling process usually used ..."
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Cited by 4 (0 self)
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used in such techniques unavoidably leads to clustering of the sampled points in higher dimensions. In this paper we adopt the quasiMonte Carlo methods of sampling to generate deterministic samples adequately dispersed in the samplespace. Such approaches have shown to provide faster solutions than
Radiative Heat Transfer with QuasiMonte Carlo Methods
 TRANSPORT THEORY AND STATISTICAL PHYSICS
, 1994
"... Monte Carlo simulation is often used to solve radiative transfer problems where complex physical phenomena and geometries must be handled. Slow convergence isawell known disadvantage of such methods. In this paper we demonstrate that a significant improvement in computation time can be achieved by u ..."
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Cited by 9 (2 self)
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by using QuasiMonte Carlo methods to simulate Rapid Thermal Processing, which is an important technique for the production of semiconductor wafers, as well as many other industrial processes. Several factors are considered including surface absorptivity, position of wafer surface to heat source
Monte Carlo and QuasiMonte Carlo methods
 ACTA NUMERICA
, 1998
"... Monte Carlo is one of the most versatile and widely used numerical methods. Its convergence rate, O(N ~ 1 ^ 2), is independent of dimension, which shows Monte Carlo to be very robust but also slow. This article presents an introduction to Monte Carlo methods for integration problems, including conve ..."
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Cited by 102 (3 self)
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are correlated to provide greater uniformity. The resulting quadrature method, called quasiMonte Carlo, has a convergence rate of approximately O((log N^N ' 1). For quasiMonte Carlo, both theoretical error estimates and practical limitations are presented. Although the emphasis in this article
Results 1  10
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381,037