Monte Carlo and Quasi-Monte Carlo Methods 1996

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

By: Niederreiter, International Conference on Monte Carlo, Harald Niederreiter (Editor)

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Paperback | 2 December 1997

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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.

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Preface
Conference Participants
A Comparison of Some Monte Carlo and Quasi Monte Carlo Techniques for Option Pricing	p. 1
Monte Carlo Methods: A Powerful Tool of Statistical Physics	p. 19
Binary Search Trees Based on Weyl and Lehmer Sequences	p. 40
A Survey of Quadratic and Inversive Congruential Pseudorandom Numbers	p. 66
A Look at Multilevel Splitting	p. 98
On the Distribution of Digital Sequences	p. 109
Random Number Generators and Empirical Tests	p. 124
The Algebraic-Geometry Approach to Low-Discrepancy Sequences	p. 139
A Monte Carlo Estimator Based on a State Space Decomposition Methodology for Flow Network Reliability	p. 161
Monte Carlo and Quasi-Monte Carlo Algorithms for a Linear Integro-Differential Equation	p. 176
A Numerical Approach for Determination of Sources in Reactive Transport Equations	p. 189
Monte Carlo Algorithms for Calculating Eigenvalues	p. 205
Construction of Digital Nets from BCH-Codes	p. 221
Discrepancy Lower Bounds for Special Quasi-Random Sequences	p. 232
Computing Discrepancies Related to Spaces of Smooth Periodic Functions	p. 238
On Correlation Analysis of Pseudorandom Numbers	p. 251
Quasi-Monte Carlo, Discrepancies and Error Estimates	p. 266
The Quasi-Random Walk	p. 277
Comparison of Independent and Stratified Sampling Schemes in Problems of Global Optimization	p. 292
The Rate of Convergence to a Stable Law for the Random Sum of HD Random Variables	p. 300
Some Bounds on the Figure of Merit of a Lattice Rule	p. 308
Quasi-Monte Carlo Integration of Digitally Smooth Functions by Digital Nets	p. 321
Weak Limits for the Diaphony	p. 330
Quasi-Monte Carlo Simulation of Random Walks in Finance	p. 340
Error Estimation for Quasi-Monte Carlo Methods	p. 353
Shift-Nets: A New Class of Binary Digital (t, m, s)-Nets	p. 369
General Sequential Sampling Techniques for Monte Carlo Simulations: Part I - Matrix Problems	p. 382
Quasi-Monte Carlo Methods for Integral Equations	p. 398
Quadratic Congruential Generators with Odd Composite Modulus	p. 415
A New Permutation Choice in Halton Sequences	p. 427
Optimal U-Type Designs	p. 436
Table of Contents provided by Blackwell. All Rights Reserved.

Monte Carlo and Quasi-Monte Carlo Methods 1996

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

At a Glance

Paperback

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