Results 101 to 110 of about 2,168,026 (221)
Quasi-Regression Monte-Carlo Method for Semi-Linear PDEs and BSDEs
Proceedings, 2019 In this work we design a novel and efficient quasi-regression Monte Carlo algorithm in order to approximate the solution of discrete time backward stochastic differential equations (BSDEs), and we analyze the convergence of the proposed method.
Emmanuel Gobet +2 more
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Quasi-Monte Carlo in finance: extending for problems of high effective dimension
Economia Aplicada, 2005 In this paper we show that it is possible to extend the use of quasi-Monte Carlo for applications of high effective dimension. This is achieved through a combination of a careful construction of the Sobol sequence and an appropriately chosen ...
Marcos Eugênio da Silva, Thierry Barbe
doaj +3 more sources
Efficient simulation of gamma and variance-gamma processes
, 2004 We study algorithms for sampling discrete-time paths of a gamma process and a variance gamma process, defined as a Brownian process with random time change obeying a gamma process.
Avramidis, Athanassios.N. +2 more
core +1 more source
Quasi-Monte Carlo with One Categorical Variable
Journal of Computational and Graphical StatisticsWe study randomized quasi-Monte Carlo (RQMC) estimation of a multivariate integral where one of the variables takes only a finite number of values. This problem arises when the variable of integration is drawn from a mixture distribution as is common in importance sampling and also arises in some recent work on transport maps.
Valerie N. P. Ho, Art B. Owen, Zexin Pan
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Multilevel and Quasi Monte Carlo Methods for the Calculation of the Expected Value of Partial Perfect Information. [PDF]
Med Decis Making, 2022 Fang W +6 more
europepmc +1 more source
Parallel Randomized Quasi-Monte Carlo Simulation for Asian Basket Option Pricing
Journal of Algorithms & Computational Technology, 2012 High-dimensional derivatives pricing, such as Asian basket options, poses great computational challenges in practice. In this paper, parallel Randomized Quasi-Monte Carlo (RQMC) simulation method is investigated to tackle this kind of intractable ...
Yong-Hong Hu, Da-Qian Chen
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Higher order Quasi-Monte Carlo integration for Bayesian PDE Inversion
Computers and Mathematics with Applications, 2019 We analyze combined Quasi-Monte Carlo quadrature and Finite Element approximations in Bayesian estimation of solutions to countably-parametric operator equations with holomorphic dependence on the parameters as considered in Schillings and Schwab (2014).
Josef Dick +3 more
semanticscholar +1 more source
EasyChair Preprints, 2018 Normalizing flows provide a general approach to construct flexible variational posteriors. The parameters are learned by stochastic optimization of the variational bound, but inference can be slow due to high variance of the gradient estimator. We propose Quasi-Monte Carlo (QMC) flows which reduce the variance of the gradient estimator by one order of ...
Florian Wenzel +2 more
openaire +2 more sources
, 2018 The calibration of discrete element method (DEM) simulations is typically accomplished in a trial-and-error manner. It generally lacks objectivity and is filled with uncertainties. To deal with these issues, the sequential quasi-Monte Carlo (SQMC) filter
Hong-Yang Cheng +3 more
semanticscholar +1 more source
Randomized block quasi-Monte Carlo sampling for generalized likelihood uncertainty estimation
Hydrology ResearchAlthough hydrological model forecasts aid water management decisions, they normally have predictive uncertainties. Generalized likelihood uncertainty estimation (GLUE) is popular for constructing predictive uncertainty bounds (PUBs).
Charles Onyutha
doaj +1 more source