92 search results - page 2 / 19 » A Quasi-Monte Carlo Method for Integration with Improved Con... |
IOR
2008
13 years 4 months ago
2008
We introduce and study a randomized quasi-Monte Carlo method for estimating the state distribution at each step of a Markov chain. The number of steps in the chain can be random an...
WSC
2000
13 years 6 months ago
2000
What actuaries call cash flow testing is a large-scale simulation pitting a company's current policy obligation against future earnings based on interest rates. While life co...
WSC
2000
13 years 6 months ago
2000
Under certain conditions on the integrand, quasi-Monte Carlo methods for estimating integrals (expectations) converge faster asymptotically than Monte Carlo methods. Motivated by ...
CORR
2000
Springer
13 years 4 months ago
2000
Springer
In a recent paper Keister proposed two quadrature rules as alternatives to Monte Carlo for certain multidimensional integrals and reported his test results. In earlier work we had...
JC
2006
13 years 4 months ago
2006
We consider high dimensional integration in a broad class of functions where all elements have maximum effective dimension. We show that there exists an exact cubature with only t...