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Random and Quasi-Random Point Sets
Taschenbuch von Gerhard Larcher (u. a.)
Sprache: Englisch

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Beschreibung
This volume is a collection of survey papers on recent developments in the fields of quasi-Monte Carlo methods and uniform random number generation. We will cover a broad spectrum of questions, from advanced metric number theory to pricing financial derivatives. The Monte Carlo method is one of the most important tools of system modeling. Deterministic algorithms, so-called uniform random number gen­ erators, are used to produce the input for the model systems on computers. Such generators are assessed by theoretical ("a priori") and by empirical tests. In the a priori analysis, we study figures of merit that measure the uniformity of certain high-dimensional "random" point sets. The degree of uniformity is strongly related to the degree of correlations within the random numbers. The quasi-Monte Carlo approach aims at improving the rate of conver­ gence in the Monte Carlo method by number-theoretic techniques. It yields deterministic bounds for the approximation error. The main mathematical tool here are so-called low-discrepancy sequences. These "quasi-random" points are produced by deterministic algorithms and should be as "super"­ uniformly distributed as possible. Hence, both in uniform random number generation and in quasi-Monte Carlo methods, we study the uniformity of deterministically generated point sets in high dimensions. By a (common) abuse oflanguage, one speaks of random and quasi-random point sets. The central questions treated in this book are (i) how to generate, (ii) how to analyze, and (iii) how to apply such high-dimensional point sets.
This volume is a collection of survey papers on recent developments in the fields of quasi-Monte Carlo methods and uniform random number generation. We will cover a broad spectrum of questions, from advanced metric number theory to pricing financial derivatives. The Monte Carlo method is one of the most important tools of system modeling. Deterministic algorithms, so-called uniform random number gen­ erators, are used to produce the input for the model systems on computers. Such generators are assessed by theoretical ("a priori") and by empirical tests. In the a priori analysis, we study figures of merit that measure the uniformity of certain high-dimensional "random" point sets. The degree of uniformity is strongly related to the degree of correlations within the random numbers. The quasi-Monte Carlo approach aims at improving the rate of conver­ gence in the Monte Carlo method by number-theoretic techniques. It yields deterministic bounds for the approximation error. The main mathematical tool here are so-called low-discrepancy sequences. These "quasi-random" points are produced by deterministic algorithms and should be as "super"­ uniformly distributed as possible. Hence, both in uniform random number generation and in quasi-Monte Carlo methods, we study the uniformity of deterministically generated point sets in high dimensions. By a (common) abuse oflanguage, one speaks of random and quasi-random point sets. The central questions treated in this book are (i) how to generate, (ii) how to analyze, and (iii) how to apply such high-dimensional point sets.
Zusammenfassung
These topics are of theoretical and applied interest in mathematics and statistics. There are applications to mathematical finance, cryptology, and applied statistics. This research-level monograph surveys the theoretical and applied aspects.
Inhaltsverzeichnis
From Probabilistic Diophantine Approximation to Quadratic Fields.- 1 Part I: Super Irregularity.- 2 Part II: Probabilistic Diophantine Approximation.- 3 Part III: Quadratic Fields and Continued Fractions.- 4 Part IV: Class Number One Problems.- 5 Part V: Cesaro Mean of % MathType!MTEF!2!1!+-
% feaagCart1ev2aaatCvAUfeBSjuyZL2yd9gzLbvyNv2CaerbuLwBLn
% hiov2DGi1BTfMBaeXatLxBI9gBaerbd9wDYLwzYbItLDharqqtubsr
% 4rNCHbGeaGqiVu0Je9sqqrpepC0xbbL8F4rqqrFfpeea0xe9Lq-Jc9
% vqaqpepm0xbba9pwe9Q8fs0-yqaqpepae9pg0FirpepeKkFr0xfr-x
% fr-xb9adbaqaaeGaciGaaiaabeqaamaabaabaaGcqaaaaaaaaaWdbe
% aadaaeqaWdaeaapeWaaeWaa8aabaWdbmaacmaapaqaa8qacaWGUbGa
% eqySdegacaGL7bGaayzFaaGaeyOeI0IaaGymaiaac+cacaaIYaaaca
% GLOaGaayzkaaaal8aabaWdbiaad6gaaeqaniabggHiLdaaaa!42C9!$$ \sum
olimits_n {\left( {\left\{ {n\alpha } \right\} - 1/2} \right)} $$.- 6 References.- On the Assessment of Random and Quasi-Random Point Sets.- 1 Introduction.- 2 Chapter for the Practitioner.- 3 Mathematical Preliminaries.- 4 Uniform Distribution Modulo One.- 5 The Spectral Test.- 6 The Weighted Spectral Test.- 7 Discrepancy.- 8 Summary.- 9 Acknowledgements.- 10 References.- Lattice Rules: How Well Do They Measure Up?.- 1 Introduction.- 2 Some Basic Properties of Lattice Rules.- 3 A General Approach to Worst-Case and Average-Case Error Analysis.- 4 Examples of Other Discrepancies.- 5 Shift-Invariant Kernels and Discrepancies.- 6 Discrepancy Bounds.- 7 Discrepancies of Integration Lattices and Nets.- 8 Tractability of High Dimensional Quadrature.- 9 Discussion and Conclusion.- 10 References.- Digital Point Sets: Analysis and Application.- 1 Introduction.- 2 The Concept and Basic Properties of Digital Point Sets.- 3 Discrepancy Bounds for Digital Point Sets.- 4 Special Classes of Digital Point Sets and Quality Bounds.- 5 Digital Sequences Based on Formal Laurent Series and Non-Archimedean Diophantine Approximation.- 6 Analysis of Pseudo-Random-Number Generators by Digital Nets.- 7 The Digital Lattice Rule.- 8 Outlook and Open Research Topics.- 9 References.- Random Number Generators: Selection Criteria and Testing.- 1 Introduction.- 2 Design Principles and Figures of Merit.- 3 Empirical Statistical Tests.- 4 Examples of Empirical Tests.- 5 Collections of Small RNGs.- 6 Systematic Testing for Small RNGs.- 7 How Do Real-Life Generators Fare in These Tests?.- 8 Acknowledgements.- 9 References.- Nets, (ts)-Sequences, and Algebraic Geometry.- 1 Introduction.- 2 Basic Concepts.- 3 The Digital Method.- 4 Background on Algebraic Curves over Finite Fields.- 5 Construction of (ts)-Sequences.- 6 New Constructions of (tms)-Nets.- 7 New Algebraic Curves with Many Rational Points.- 8 References.- Financial Applications of Monte Carlo and Quasi-Monte Carlo Methods.- 1 Introduction.- 2 Monte Carlo Methods for Finance Applications.- 3 Speeding Up by Quasi-Monte Carlo Methods.- 4 Future Topics.- 5 References.
Details
Erscheinungsjahr: 1998
Fachbereich: Wahrscheinlichkeitstheorie
Genre: Mathematik
Rubrik: Naturwissenschaften & Technik
Medium: Taschenbuch
Seiten: 348
Reihe: Lecture Notes in Statistics
Inhalt: xii
334 S.
9 s/w Illustr.
334 p. 9 illus.
ISBN-13: 9780387985541
ISBN-10: 0387985549
Sprache: Englisch
Ausstattung / Beilage: Paperback
Einband: Kartoniert / Broschiert
Redaktion: Larcher, Gerhard
Hellekalek, Peter
Herausgeber: Peter Hellekalek/Gerhard Larcher
Auflage: Softcover reprint of the original 1st ed. 1998
Hersteller: Springer US
Springer New York
Lecture Notes in Statistics
Maße: 235 x 155 x 19 mm
Von/Mit: Gerhard Larcher (u. a.)
Erscheinungsdatum: 09.10.1998
Gewicht: 0,528 kg
preigu-id: 102941238
Zusammenfassung
These topics are of theoretical and applied interest in mathematics and statistics. There are applications to mathematical finance, cryptology, and applied statistics. This research-level monograph surveys the theoretical and applied aspects.
Inhaltsverzeichnis
From Probabilistic Diophantine Approximation to Quadratic Fields.- 1 Part I: Super Irregularity.- 2 Part II: Probabilistic Diophantine Approximation.- 3 Part III: Quadratic Fields and Continued Fractions.- 4 Part IV: Class Number One Problems.- 5 Part V: Cesaro Mean of % MathType!MTEF!2!1!+-
% feaagCart1ev2aaatCvAUfeBSjuyZL2yd9gzLbvyNv2CaerbuLwBLn
% hiov2DGi1BTfMBaeXatLxBI9gBaerbd9wDYLwzYbItLDharqqtubsr
% 4rNCHbGeaGqiVu0Je9sqqrpepC0xbbL8F4rqqrFfpeea0xe9Lq-Jc9
% vqaqpepm0xbba9pwe9Q8fs0-yqaqpepae9pg0FirpepeKkFr0xfr-x
% fr-xb9adbaqaaeGaciGaaiaabeqaamaabaabaaGcqaaaaaaaaaWdbe
% aadaaeqaWdaeaapeWaaeWaa8aabaWdbmaacmaapaqaa8qacaWGUbGa
% eqySdegacaGL7bGaayzFaaGaeyOeI0IaaGymaiaac+cacaaIYaaaca
% GLOaGaayzkaaaal8aabaWdbiaad6gaaeqaniabggHiLdaaaa!42C9!$$ \sum
olimits_n {\left( {\left\{ {n\alpha } \right\} - 1/2} \right)} $$.- 6 References.- On the Assessment of Random and Quasi-Random Point Sets.- 1 Introduction.- 2 Chapter for the Practitioner.- 3 Mathematical Preliminaries.- 4 Uniform Distribution Modulo One.- 5 The Spectral Test.- 6 The Weighted Spectral Test.- 7 Discrepancy.- 8 Summary.- 9 Acknowledgements.- 10 References.- Lattice Rules: How Well Do They Measure Up?.- 1 Introduction.- 2 Some Basic Properties of Lattice Rules.- 3 A General Approach to Worst-Case and Average-Case Error Analysis.- 4 Examples of Other Discrepancies.- 5 Shift-Invariant Kernels and Discrepancies.- 6 Discrepancy Bounds.- 7 Discrepancies of Integration Lattices and Nets.- 8 Tractability of High Dimensional Quadrature.- 9 Discussion and Conclusion.- 10 References.- Digital Point Sets: Analysis and Application.- 1 Introduction.- 2 The Concept and Basic Properties of Digital Point Sets.- 3 Discrepancy Bounds for Digital Point Sets.- 4 Special Classes of Digital Point Sets and Quality Bounds.- 5 Digital Sequences Based on Formal Laurent Series and Non-Archimedean Diophantine Approximation.- 6 Analysis of Pseudo-Random-Number Generators by Digital Nets.- 7 The Digital Lattice Rule.- 8 Outlook and Open Research Topics.- 9 References.- Random Number Generators: Selection Criteria and Testing.- 1 Introduction.- 2 Design Principles and Figures of Merit.- 3 Empirical Statistical Tests.- 4 Examples of Empirical Tests.- 5 Collections of Small RNGs.- 6 Systematic Testing for Small RNGs.- 7 How Do Real-Life Generators Fare in These Tests?.- 8 Acknowledgements.- 9 References.- Nets, (ts)-Sequences, and Algebraic Geometry.- 1 Introduction.- 2 Basic Concepts.- 3 The Digital Method.- 4 Background on Algebraic Curves over Finite Fields.- 5 Construction of (ts)-Sequences.- 6 New Constructions of (tms)-Nets.- 7 New Algebraic Curves with Many Rational Points.- 8 References.- Financial Applications of Monte Carlo and Quasi-Monte Carlo Methods.- 1 Introduction.- 2 Monte Carlo Methods for Finance Applications.- 3 Speeding Up by Quasi-Monte Carlo Methods.- 4 Future Topics.- 5 References.
Details
Erscheinungsjahr: 1998
Fachbereich: Wahrscheinlichkeitstheorie
Genre: Mathematik
Rubrik: Naturwissenschaften & Technik
Medium: Taschenbuch
Seiten: 348
Reihe: Lecture Notes in Statistics
Inhalt: xii
334 S.
9 s/w Illustr.
334 p. 9 illus.
ISBN-13: 9780387985541
ISBN-10: 0387985549
Sprache: Englisch
Ausstattung / Beilage: Paperback
Einband: Kartoniert / Broschiert
Redaktion: Larcher, Gerhard
Hellekalek, Peter
Herausgeber: Peter Hellekalek/Gerhard Larcher
Auflage: Softcover reprint of the original 1st ed. 1998
Hersteller: Springer US
Springer New York
Lecture Notes in Statistics
Maße: 235 x 155 x 19 mm
Von/Mit: Gerhard Larcher (u. a.)
Erscheinungsdatum: 09.10.1998
Gewicht: 0,528 kg
preigu-id: 102941238
Warnhinweis