Monte-Carlo and Quasi-Monte Carlo Methods 1998 : Proceedings of a Conference Held at the Claremont Graduate University, Claremont, California, U. S. A., June 22-26, 1998

This book represents the refereed proceedings of the Third International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing which was held at Claremont Graduate University in 1998. An important feature are invited surveys of the state of the art in key areas such as multidimensional numerical integration, low-discrepancy point sets, random number generation, and applications of Monte Carlo and quasi-Monte Carlo methods. These proceedings include also carefully selected contributed papers on all aspects of Monte Carlo and quasi-Monte Carlo methods. The reader will be informed about current research in this very active area. Front Matter ....Pages I-XVI Adaptively Learning an Importance Function Using Transport Constrained Monte Carlo (Thomas E. Booth)....Pages 1-15 What Affects the Accuracy of Quasi-Monte Carlo Quadrature? (Fred J. Hickernell)....Pages 16-55 Dynamic Creation of Pseudorandom Number Generators (Makoto Matsumoto, Takuji Nishimura)....Pages 56-69 Constructions of (t, m, s)-Nets (Harald Niederreiter)....Pages 70-85 Monte Carlo, Quasi-Monte Carlo, and Randomized Quasi-Monte Carlo (Art B. Owen)....Pages 86-97 Geometrically Convergent Learning Algorithms for Global Solutions of Transport Problems (Jerome Spanier)....Pages 98-113 Efficiency of Quasi-Monte Carlo Algorithms for High Dimensional Integrals (Henryk Woźniakowski)....Pages 114-136 Domain Decomposition Methods for Parallel Laser-Tissue Models with Monte Carlo Transport (Henry J. Alme, Garry Rodrigue, George Zimmerman)....Pages 137-148 Pricing Complex Barrier Options with General Features Using Sharp Large Deviation Estimates (Paolo Baldi, Lucia Caramellino, Maria Gabriella Iovino)....Pages 149-162 Application of Quasi-Monte Carlo Sampling to the Multi Path Method for Radiosity (Francesc Castro, Mateu Sbert)....Pages 163-176 Semi-Monte Carlo Light Tracing Applied to the Study of Road Visibility in Fog (Eric Dumont)....Pages 177-187 Quasi-Monte Carlo Node Sets from Linear Congruential Generators (Karl Entacher, Peter Hellekalek, Pierre L’Ecuyer)....Pages 188-198 Methods for Generating Random Orthogonal Matrices (Alan Genz)....Pages 199-213 Comparison of Monte Carlo Algorithms for Obtaining Geometric Convergence for Model Transport Problems (Carole Hayakawa, Jerome Spanier)....Pages 214-226 Wavelet Monte Carlo Methods for the Global Solution of Integral Equations (Stefan Heinrich)....Pages 227-237 Sequential Correlated Sampling Methods for Some Transport Problems (Rong Kong, Jerome Spanier)....Pages 238-251 Error Analysis of Sequential Monte Carlo Methods for Transport Problems (Rong Kong, Jerome Spanier)....Pages 252-272 Adaptive Importance Sampling Algorithms for Transport Problems (Yongzeng Lai, Jerome Spanier)....Pages 273-283 Applications of Monte Carlo/Quasi-Monte Carlo Methods in Finance: Option Pricing (Yongzeng Lai, Jerome Spanier)....Pages 284-295 A Discrepancy-Based Analysis of Figures of Merit for Lattice Rules (T. N. Langtry)....Pages 296-310 Grid-Free Simulation of Convection-Diffusion (Christian Lécot, Abdoul Koudiraty)....Pages 311-325 A Comparison of Monte Carlo, Lattice Rules and Other Low-Discrepancy Point Sets (Christiane Lemieux, Pierre L’Ecuyer)....Pages 326-340 Higher-Dimensional Properties of Non-Uniform Pseudo-Random Variates (Josef Leydold, Hannes Leeb, Wolfgang Hörmann)....Pages 341-355 Quasi-Monte Carlo Simulation Methods for Measurement Uncertainty (Liming Li)....Pages 356-367 Linear Programming Bounds for Ordered Orthogonal Arrays and (T, M, S)-nets (William J. Martin)....Pages 368-376 A Practical Approach to the Error Estimation of Quasi-Monte Carlo Integrations (Hozumi Morohosi, Masanori Fushimi)....Pages 377-390 Applications of a Hybrid-Monte Carlo Sequence to Option Pricing (Giray Ökten)....Pages 391-406 Monte Carlo Simulation of Photometrical Measurements in Fog (Giselle Paulmier, Victor Carta)....Pages 407-418 Variance Reduction Techniques for Large Scale Risk Management (Henry Schellhorn, Flora Kidani)....Pages 419-435 Improvements and Extensions of the “Salzburg Tables” by Using Irreducible Polynomials (Wolfgang Ch. Schmid)....Pages 436-447 A LeVeque-type lower bound for discrepancy (Francis Edward Su)....Pages 448-458 The diaphony and the star-diaphony of some two-dimensional sequences (Yi-Jun Xiao)....Pages 459-470