Midwest Numerical Analysis Day
نویسندگان
چکیده
Multi-level Monte Carlo is a relatively new method that computes expectations of stochastic processes to a desired tolerance significantly faster than previous methods. I will detail the basic idea of multi-level Monte Carlo and show how to implement it in the continuous time Markov chain setting, which is a modeling choice commonly used in the biosciences. Departments of Computer Science, Mathematics, and Statistics MIDWEST NUMERICAL ANALYSIS DAY BISWA NATH DATTA Department of Mathematical Sciences Northern Illinois University, [email protected] Computational and Optimization Methods for Quadratic Inverse Eigenvalue Problems Arising in Mechanical Vibration and Structural Dynamics: Linking Mathematics to Industry SATURDAY, MAY 25, 2013 Eckhart 133, 5734 S. University Avenue
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