|
" Strategies for Quasi-Monte Carlo "
by Bennett L. Fox.
| Document Type
|
:
|
BL
|
| Record Number
|
:
|
731404
|
| Doc. No
|
:
|
b551190
|
| Main Entry
|
:
|
by Bennett L. Fox.
|
| Title & Author
|
:
|
Strategies for Quasi-Monte Carlo\ by Bennett L. Fox.
|
| Publication Statement
|
:
|
Boston, MA: Springer US, 1999
|
| Series Statement
|
:
|
International series in operations research & management science, 22.
|
| Page. NO
|
:
|
(xxxiv, 368 pages)
|
| ISBN
|
:
|
1461552214
|
|
|
:
|
: 9781461552215
|
| Contents
|
:
|
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.
|
| Abstract
|
:
|
Strategies for Quasi-Monte Carlo builds a framework to design and analyze strategies for randomized quasi-Monte Carlo (RQMC).
|
| Subject
|
:
|
Mathematical optimization.
|
| Subject
|
:
|
Mathematics.
|
| Subject
|
:
|
Systems theory.
|
| LC Classification
|
:
|
QA298.B934 1999
|
| Added Entry
|
:
|
Bennett L Fox
|
| |