Monte Carlo Extension of Quasi-monte Carlo
نویسنده
چکیده
This paper surveys recent research on using Monte Carlo techniques to improve quasi-Monte Carlo techniques. Randomized quasi-Monte Carlo methods provide a basis for error estimation. They have, in the special case of scrambled nets, also been observed to improve accuracy. Finally through Latin supercube sampling it is possible to use Monte Carlo methods to extend quasi-Monte Carlo methods to higher dimensional problems.
منابع مشابه
Evaluating Quasi-Monte Carlo (QMC) algorithms in blocks decomposition of de-trended
The length of equal minimal and maximal blocks has eected on logarithm-scale logarithm against sequential function on variance and bias of de-trended uctuation analysis, by using Quasi Monte Carlo(QMC) simulation and Cholesky decompositions, minimal block couple and maximal are founded which are minimum the summation of mean error square in Horest power.
متن کاملAn Adaptive Quasi Monte Carlo Alternative to Metropolis
We present a manually-adaptive extension of Quasi Monte Carlo (QMC) integration for approximating marginal densities, moments, and quantiles when the joint density is known up to a normalization constant. Randomization and a batch-wise approach involving (0; s)-sequences are the cornerstones of the technique. By incorporating a variety of graphical diagnostics the method allows the user to adap...
متن کاملKinetic Monte Carlo Simulation of Oxalic Acid Ozonationover Lanthanum-based Perovskitesas Catalysts
Kinetic Monte Carlo simulation was applied to investigation of kinetics and mechanism of oxalic acid degradation by direct and heterogeneous catalytic ozonation. La-containing perovskites including LaFeO3, LaNiO3, LaCoO3 and LaMnO3 was studied as catalyst for oxalic acid ozonation. The reaction kinetic mechanisms of each abovementioned catalytic systems has been achieved. The rate constants val...
متن کاملApplication of Monte Carlo Simulation in the Assessment of European Call Options
In this paper, the pricing of a European call option on the underlying asset is performed by using a Monte Carlo method, one of the powerful simulation methods, where the price development of the asset is simulated and value of the claim is computed in terms of an expected value. The proposed approach, applied in Monte Carlo simulation, is based on the Black-Scholes equation which generally def...
متن کاملQuasi - Monte Carlo Methods in Computer Graphics
The problem of global illumination in computer graphics is described by a Fredholm integral equation of the second kind. Due to the complexity of this equation, Monte Carlo methods provide an efficient tool for the estimation of the solution. A new approach, using quasi-Monte Carlo integration, is introduced and compared to Monte Carlo integration. We discuss some theoretical aspects and give n...
متن کامل