Handbook of Monte Carlo Methods

From MaRDI portal
Revision as of 21:46, 3 February 2024 by Import240129110113 (talk | contribs) (Created automatically from import240129110113)
(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)

Publication:3067750

DOI10.1002/9781118014967zbMath1213.65001OpenAlexW5385147WikidataQ62117583 ScholiaQ62117583MaRDI QIDQ3067750

Zdravko I. Botev, Dirk P. Kroese, Thomas Taimre

Publication date: 13 January 2011

Published in: Wiley Series in Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/9781118014967




Related Items (only showing first 100 items - show all)

Why does Monte Carlo fail to work properly in high-dimensional optimization problems?Simulation of N-dimensional second-order fluid models with different absorbing, reflecting and mixed barriersAn economical acceptance-rejection algorithm for uniform random variate generation over constrained simplexesStochastic loss reserving with dependence: a flexible multivariate Tweedie approachUncertainty quantification in hierarchical vehicular flow modelsOn the efficient simulation of the left-tail of the sum of correlated log-normal variatesOn the computational complexity and generalization properties of multi-stage and stage-wise coupled scenario programsExploring stochasticity and imprecise knowledge based on linear inequality constraintsProbabilistic prediction of outbreaks of meningococcus W-135 infections over the next few years in SpainIntegrated stationary Ornstein-Uhlenbeck process, and double integral processesGauss-Markov processes in the presence of a reflecting boundary and applications in neuronal modelsA new approach to nonlinear modelling of dynamic systems based on fuzzy rulesComputation of credit portfolio loss distribution by a cross entropy methodAn adaptive zero-variance importance sampling approximation for static network dependability evaluationRare events in random geometric graphsSplitting for optimizationAn efficient alternative to the exact evaluation of the quickest path flow network reliability problemBayesian estimation of agent-based modelsSplitting for multi-objective optimizationBootstrap methods for epistemic fuzzy dataImproved Markov chain Monte Carlo method for cryptanalysis substitution-transposition cipherGenerating random variates from PDF of Gauss-Markov processes with a reflecting boundaryMarginal Likelihood Estimation with the Cross-Entropy MethodOptimal design of stochastic distributed order linear SISO systems using hybrid spectral methodAdaptive importance sampling for optimization under uncertainty problems\textit{Wolbachia}-based biocontrol for dengue reduction using dynamic optimization approachA NEW ARGUMENT IN FAVOR OF HYPERBOLIC DISCOUNTING IN VERY LONG TERM PROJECT APPRAISALApproximating the tail of the Anderson-Darling distributionImportance accelerated Robbins-Monro recursion with applications to parametric confidence limitsMaximum likelihood solutions for multicriterial choice problemsComputational modeling of the nonlinear stochastic dynamics of horizontal drillstringsSequential simulation of a conditional Boolean modelOn testing pseudorandom generators via statistical tests based on the arcsine lawHidden equations of risk critical thresholdsQuantifying uncertainties in contact mechanics of rough surfaces using the Multilevel Monte Carlo methodGirsanov's transformation based variance reduced Monte Carlo simulation schemes for reliability estimation in nonlinear stochastic dynamicsA hierarchical Bayes ensemble Kalman filterTransient Fokker-Planck-Kolmogorov equation solved with smoothed particle hydrodynamics methodMulticriteria choice based on criteria importance methods with uncertain preference informationComputing highly accurate confidence limits from discrete data using importance samplingA neural network approach to performance analysis of tandem lines: the value of analytical knowledgeApproximately counting and sampling knowledge statesThe triple junction hull: Tools for grain boundary network designA dissipative particle dynamics method for arbitrarily complex geometriesBayesian estimation of Gegenbauer long memory processes with stochastic volatility: methods and applicationsA new reliability based optimization of tuned mass damper parameters using energy approachOn the generalization of the hazard rate twisting-based simulation approachCross-entropy method for estimation of posterior expectation in Bayesian VAR modelsA range reduction method for generating discrete random variablesA regime switching skew-normal model of contagionMarket inconsistencies of market-consistent European life insurance economic valuations: pitfalls and practical solutionsClassical Langevin dynamics derived from quantum mechanicsMoving average stochastic volatility models with application to inflation forecastA Stochastic Gradient Method With Mesh Refinement for PDE-Constrained Optimization Under UncertaintyAssigning probabilities to qualitative dynamics of gene regulatory networksConstructing adaptive generalized polynomial chaos method to measure the uncertainty in continuous models: a computational approachAnalysis of splitting methods for solving a partial integro-differential Fokker-Planck equationNumerical integration to obtain moment of inertia of nonhomogeneous materialProbabilistic solution of the homogeneous Riccati differential equation: a case-study by using linearization and transformation techniquesSampling Conditionally on a Rare Event via Generalized SplittingUncertainty quantification of stochastic simulation for black-box computer experimentsOptimal release programs for dengue prevention using \textit{Aedes aegypti} mosquitoes transinfected with \textit{wMel} or \textit{wMelPop Wolbachia} strainsEfficient simulation of (\(\log\))normal random fields for hydrogeological applicationsOptimal control approach for establishing wMelpop Wolbachia infection among wild Aedes aegypti populationsIs the Brownian bridge a good noise model on the boundary of a circle?PERMUTATIONAL METHODS FOR PERFORMANCE ANALYSIS OF STOCHASTIC FLOW NETWORKSSurrogate-enhanced simulation of aircraft in trimmed statePerformance evaluation of an importance sampling technique in a Jackson networkThe SIS and SIR stochastic epidemic models: a maximum entropy approachDealing with dependent uncertainty in modelling: a comparative study case through the Airy equationSimulation of sample paths for Gauss-Markov processes in the presence of a reflecting boundaryA discrete optimality system for an optimal harvesting problemA new framework for extracting coarse-grained models from time series with multiscale structureConvergence of Markovian Stochastic Approximation with Discontinuous DynamicsFast and accurate computation of the distribution of sums of dependent log-normalsExtracting information about the rotator cuff from magnetic resonance images using deterministic and random techniquesRandom search of stable member in a matrix polytopeInference on the effect of non homogeneous inputs in Ornstein-Uhlenbeck neuronal modelingBayesian model discrimination for partially-observed epidemic modelsMarkov chain importance sampling with applications to rare event probability estimationRatio limits and simulation algorithms for the Palm version of stationary iterated tessellationsNumerical integration to obtain second moment of inertia of axisymmetric heterogeneous bodyEfficient importance sampling for large sums of independent and identically distributed random variablesConstructing Sampling Schemes via Coupling: Markov Semigroups and Optimal TransportMantel test for spatial functional data. An application to infiltration curvesOn first exit times and their means for Brownian bridgesA comparison of approaches for the construction of reduced basis for stochastic Galerkin matrix equations.Importance sampling and its optimality for stochastic simulation modelsImportance sampling for partially observed temporal epidemic modelsOn using Monte Carlo simulations for sampling crystallite orientations from given texture dataStochastic modeling of inhomogeneities in the aortic wall and uncertainty quantification using a Bayesian encoder-decoder surrogateMonte Carlo for Estimating Exponential ConvolutionUnivariate continuous distributions: symmetries and transformationsRestricted Ornstein-Uhlenbeck process and applications in neuronal models with periodic input signalsDetecting Directionality in Time SeriesA Cross-Entropy Scheme for MixturesRare Event Estimation for Computer ModelsInferring robust decision models in multicriteria classification problems: an experimental analysisLatin Hypercube Sampling and Fibonacci Based Lattice Method Comparison for Computation of Multidimensional IntegralsTurnpike properties of optimal boundary control problems with random linear hyperbolic systems


Uses Software






This page was built for publication: Handbook of Monte Carlo Methods