Results 81 to 90 of about 2,168,026 (221)
Stochastic Order and Generalized Weighted Mean Invariance
Entropy, 2021 In this paper, we present order invariance theoretical results for weighted quasi-arithmetic means of a monotonic series of numbers. The quasi-arithmetic mean, or Kolmogorov–Nagumo mean, generalizes the classical mean and appears in many disciplines ...
Mateu Sbert +3 more
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Monte Carlo Uncertainty Quantification Using Quasi-1D SRM Ballistic Model
International Journal of Aerospace Engineering, 2016 Compactness, reliability, readiness, and construction simplicity of solid rocket motors make them very appealing for commercial launcher missions and embarked systems. Solid propulsion grants high thrust-to-weight ratio, high volumetric specific impulse,
Davide Viganò +2 more
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Quasi-Monte Carlo methods with applications in finance [PDF]
Finance and Stochastics, 2009 The paper contains a review of the basic principles of quasi-Monte Carlo methods (QMC). Using QMC, one replaces the independent random points by a set of deterministic points covering the unit hypercube more evenly (uniformly) than a typical set of random points.
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Monte Carlo methods for the estimation of value-at-risk and related risk measures [PDF]
, 2011 Nested Monte Carlo is a computationally expensive exercise. The main contributions we present in this thesis are the formulation of efficient algorithms to perform nested Monte Carlo for the estimation of Value-at-Risk and Expected-Tail-Loss.
Marks, Dean
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A parameter optimisation toolchain for Monte Carlo detector simulation [PDF]
EPJ Web of ConferencesMonte Carlo detector transport codes are one of the backbones in high-energy physics computing. They simulate the transport of a large variety of different particle types through complex detector geometries based on different physics models.
Volkel Benedikt +3 more
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Application of RQMC for CDO Pricing with Stochastic Correlations under Nonhomogeneous Assumptions
Complexity, 2022 In consideration of that the correlation between any two assets of the asset pool is always stochastic in the actual market and that collateralized debt obligation (CDO) pricing models under nonhomogeneous assumptions have no semianalytic solutions, we ...
Shuanghong Qu, Lingxian Meng, Hua Li
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Proof techniques in quasi-Monte Carlo theory
Journal of Complexity, 2015 Revised ...
Josef Dick +2 more
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Error in Monte Carlo, quasi-error in Quasi-Monte Carlo [PDF]
Computer Physics Communications, 2006 While the Quasi-Monte Carlo method of numerical integration achieves smaller integration error than standard Monte Carlo, its use in particle physics phenomenology has been hindered by the abscence of a reliable way to estimate that error. The standard Monte Carlo error estimator relies on the assumption that the points are generated independently of ...
Kleiss, R.H.P., Lazopoulos, A.
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Quasi-Monte Carlo EM algorithm for MLEs in generalized linear mixed models
, 1998 Inferences for generalized linear mixed models are greatly hampered by the intractable integrated likelihood. In this paper numerical integration based on Quasi-Monte Carlo method is used to approximate the integral of the EM algorithm and then to fit ...
Robin Thompson +3 more
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Hybrid Monte Carlo on Hilbert spaces [PDF]
, 2011 The Hybrid Monte Carlo (HMC) algorithm provides a framework for sampling from complex, high-dimensional target distributions. In contrast with standard Markov chain Monte Carlo (MCMC) algorithms, it generates nonlocal, nonsymmetric moves in the state ...
Beskos, A +15 more
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