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Monte Carlo and Quasi-Monte Carlo Methods

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Cover of 'Monte Carlo and Quasi-Monte Carlo Methods'

Table of Contents

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    Book Overview
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    Chapter 1 The Trio Identity for Quasi-Monte Carlo Error
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    Chapter 2 Randomized Quasi-Monte Carlo: An Introduction for Practitioners
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    Chapter 3 Application of Quasi-Monte Carlo Methods to PDEs with Random Coefficients – An Overview and Tutorial
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    Chapter 4 Malliavin-Based Multilevel Monte Carlo Estimators for Densities of Max-Stable Processes
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    Chapter 5 Sequential Quasi-Monte Carlo: Introduction for Non-experts, Dimension Reduction, Application to Partly Observed Diffusion Processes
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    Chapter 6 Hot New Directions for Quasi-Monte Carlo Research in Step with Applications
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    Chapter 7 Stratified Bayesian Optimization
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    Chapter 8 Tusnády’s Problem, the Transference Principle, and Non-uniform QMC Sampling
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    Chapter 9 Learning Light Transport the Reinforced Way
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    Chapter 10 Successive Coordinate Search and Component-by-Component Construction of Rank-1 Lattice Rules
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    Chapter 11 Adaptive Euler–Maruyama Method for SDEs with Non-globally Lipschitz Drift
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    Chapter 12 Monte Carlo with User-Specified Relative Error
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    Chapter 13 Dimension Truncation in QMC for Affine-Parametric Operator Equations
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    Chapter 14 Combining Sparse Grids, Multilevel MC and QMC for Elliptic PDEs with Random Coefficients
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    Chapter 15 A Method to Compute an Appropriate Sample Size of a Two-Level Test for the NIST Test Suite
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    Chapter 16 Lower Complexity Bounds for Parametric Stochastic Itô Integration
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    Chapter 17 QMC Algorithms with Product Weights for Lognormal-Parametric, Elliptic PDEs
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    Chapter 18 QMC Designs and Determinantal Point Processes
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    Chapter 19 Efficient Monte Carlo for Diffusion Processes Using Ornstein–Uhlenbeck Bridges
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    Chapter 20 Optimal Discrepancy Rate of Point Sets in Besov Spaces with Negative Smoothness
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    Chapter 21 A Reduced Fast Construction of Polynomial Lattice Point Sets with Low Weighted Star Discrepancy
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    Chapter 22 Randomized Sobol’ Sensitivity Indices
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    Chapter 23 Supervised Learning of How to Blend Light Transport Simulations
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    Chapter 24 A Dimension-Adaptive Multi-Index Monte Carlo Method Applied to a Model of a Heat Exchanger
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    Chapter 25 Towards Real-Time Monte Carlo for Biomedicine
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    Chapter 26 Rates of Convergence and CLTs for Subcanonical Debiased MLMC
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Title
Monte Carlo and Quasi-Monte Carlo Methods
Published by
Springer International Publishing, July 2018
DOI 10.1007/978-3-319-91436-7
ISBNs
978-3-31-991435-0, 978-3-31-991436-7
Editors

Owen, Art B., Glynn, Peter W.

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