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» Monte Carlo methods for matrix computations on the grid
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IMC
2010
ACM
14 years 7 months ago
On economic heavy hitters: shapley value analysis of 95th-percentile pricing
Cost control for the Internet access providers (AP) influences not only the nominal speeds offered to the customers, but also other, more controversial, policies related to traffi...
Rade Stanojevic, Nikolaos Laoutaris, Pablo Rodrigu...
MICCAI
2003
Springer
15 years 10 months ago
Vascular Atlas Formation Using a Vessel-to-Image Affine Registration Method
We have developed a method for forming vascular atlases using vascular distance maps and a novel vascular model-to-image registration method. Our atlas formation process begins wit...
Dini Chillet, Julien Jomier, Derek Cool, Stephen R...
81
Voted
WSC
2004
14 years 11 months ago
Exact Simulation of Option Greeks under Stochastic Volatility and Jump Diffusion Models
This paper derives Monte Carlo simulation estimators to compute option price derivatives, i.e., the `Greeks,' under Heston's stochastic volatility model and some variant...
Mark Broadie, Özgür Kaya
EUROPAR
2003
Springer
15 years 2 months ago
Parallel ScaLAPACK-Style Algorithms for Solving Continuous-Time Sylvester Matrix Equations
An implementation of a parallel ScaLAPACK-style solver for the general Sylvester equation, op(A)X −Xop(B) = C, where op(A) denotes A or its transpose AT , is presented. The paral...
Robert Granat, Bo Kågström, Peter Porom...
IPPS
2010
IEEE
14 years 7 months ago
On the parallelisation of MCMC by speculative chain execution
Abstract--The increasing availability of multi-core and multiprocessor architectures provides new opportunities for improving the performance of many computer simulations. Markov C...
Jonathan M. R. Byrd, Stephen A. Jarvis, Abhir H. B...