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ICCS
2001
Springer
13 years 9 months ago
On the Use of Quasi-Monte Carlo Methods in Computational Finance
We give the background and required tools for applying quasi-Monte Carlo methods efficiently to problems in computational finance, and survey recent developments in this field. W...
Christiane Lemieux, Pierre L'Ecuyer
CAD
2006
Springer
13 years 5 months ago
A quasi-Monte Carlo method for computing areas of point-sampled surfaces
A novel and efficient quasi-Monte Carlo method for computing the area of a point-sampled surface with associated surface normal for each point is presented. Our method operates di...
Yu-Shen Liu, Jun-Hai Yong, Hui Zhang, Dong-Ming Ya...
ISQED
2007
IEEE
372views Hardware» more  ISQED 2007»
13 years 11 months ago
From Finance to Flip Flops: A Study of Fast Quasi-Monte Carlo Methods from Computational Finance Applied to Statistical Circuit
Problems in computational finance share many of the characteristics that challenge us in statistical circuit analysis: high dimensionality, profound nonlinearity, stringent accura...
Amith Singhee, Rob A. Rutenbar
ICCS
2007
Springer
13 years 11 months ago
Monte Carlo Numerical Treatment of Large Linear Algebra Problems
In this paper we deal with performance analysis of Monte Carlo algorithm for large linear algebra problems. We consider applicability and efficiency of the Markov chain Monte Carlo...
Ivan Dimov, Vassil N. Alexandrov, Rumyana Papanche...