Monte Carlo and Quasi-Monte Carlo Methods

1. Front Matter

   Pages i-xi

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2. Invited Talks

   1. Front Matter

      Pages 1-1

      PDF

   2. A Tutorial on Quantile Estimation via Monte Carlo

      • Hui Dong, Marvin K. Nakayama

      Pages 3-30

   3. Multilevel Quasi-Monte Carlo Uncertainty Quantification for Advection-Diffusion-Reaction

      • Lukas Herrmann, Christoph Schwab

      Pages 31-67

   4. Selecting the Best Simulated System: Thinking Differently About an Old Problem

      • Barry L. Nelson

      Pages 69-79

   5. Discrepancy of Digital Sequences: New Results on a Classical QMC Topic

      • Friedrich Pillichshammer

      Pages 81-103

3. Regular Talks

   1. Front Matter

      Pages 105-105

      PDF

   2. Network Structure Change Point Detection by Posterior Predictive Discrepancy

      • Lingbin Bian, Tiangang Cui, Georgy Sofronov, Jonathan Keith

      Pages 107-123

   3. Stochastic Methods for Solving High-Dimensional Partial Differential Equations

      • Marie Billaud-Friess, Arthur Macherey, Anthony Nouy, Clémentine Prieur

      Pages 125-141

   4. Massively Parallel Construction of Radix Tree Forests for the Efficient Sampling of Discrete or Piecewise Constant Probability Distributions

      • Nikolaus Binder, Alexander Keller

      Pages 143-159

   5. An Adaptive Algorithm Employing Continuous Linear Functionals

      • Yuhan Ding, Fred J. Hickernell, Lluís Antoni Jiménez Rugama

      Pages 161-181

   6. Constructing QMC Finite Element Methods for Elliptic PDEs with Random Coefficients by a Reduced CBC Construction

      • Adrian Ebert, Peter Kritzer, Dirk Nuyens

      Pages 183-205

   7. Sudoku Latin Square Sampling for Markov Chain Simulation

      • Rami El Haddad, Joseph El Maalouf, Christian Lécot, Pierre L’Ecuyer

      Pages 207-230

   8. Avoiding the Sign Problem in Lattice Field Theory

      • Tobias Hartung, Karl Jansen, Hernan Leövey, Julia Volmer

      Pages 231-249

   9. On Hybrid Point Sets Stemming from Halton-Type Hammersley Point Sets and Polynomial Lattice Point Sets

      • Roswitha Hofer

      Pages 251-269

   10. Robust Estimation of the Mean with Bounded Relative Standard Deviation

       • Mark Huber

       Pages 271-284

   11. Infinite Swapping Algorithm for Training Restricted Boltzmann Machines

       • Henrik Hult, Pierre Nyquist, Carl Ringqvist

       Pages 285-307

   12. Sensitivity Ranks by Monte Carlo

       • Ian Iscoe, Alexander Kreinin

       Pages 309-328

   13. Lower Bounds on the \(L_p\) Discrepancy of Digital NUT Sequences

       • Ralph Kritzinger, Friedrich Pillichshammer

       Pages 329-344

   14. Randomized QMC Methods for Mixed-Integer Two-Stage Stochastic Programs with Application to Electricity Optimization

       • H. Leövey, W. Römisch

       Pages 345-362

​This book presents the refereed proceedings of the 13th International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing that was held at the University of Rennes, France, and organized by Inria, in July 2018. These biennial conferences are major events for Monte Carlo and quasi-Monte Carlo researchers. The proceedings include articles based on invited lectures as well as carefully selected contributed papers on all theoretical aspects and applications of Monte Carlo and quasi-Monte Carlo methods. Offering information on the latest developments in these very active areas, this book is an excellent reference resource for theoreticians and practitioners interested in solving high-dimensional computational problems, arising, in particular, in finance, statistics and computer graphics.

• Multi-level Monte Carlo
• Complexity and tractability of multivariate problems
• Discrepancy theory
• Sequential Monte Carlo and particle methods
• Digital nets and lattice rules
• Monte Carlo, quasi-Monte Carlo, Markov chain Monte Carlo
• Rare event simulation
• Randomized quasi-Monte Carlo
• Variance reduction methods
• MC/QMC methods in chemistry, finance, computer graphics, et al.

• INRIA Rennes Bretagne-Atlantique, Campus Universtaire de Beaulieu, Rennes, France

  Bruno Tuffin

• Département d’informatique et de Recherche Opérationnelle (DIRO), Université de Montréal, Montreal, Canada

  Pierre L'Ecuyer

Policies and ethics