Analysis of quasi-Monte Carlo methods for elliptic eigenvalue problems with stochastic coefficients
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DOI: 10.1007/s00211-019-01046-6
Abstract: We consider the forward problem of uncertainty quantification for the generalised Dirichlet eigenvalue problem for a coercive second order partial differential operator with random coefficients, motivated by problems in structural mechanics, photonic crystals and neutron… read more here.
Keywords: monte carlo; problem; eigenvalue; quasi monte ... See more keywords
Time Series Simulation with Randomized Quasi-Monte Carlo Methods: An Application to Value at Risk and Expected Shortfall
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DOI: 10.1007/s10614-017-9661-0
Abstract: Quasi-Monte Carlo methods are designed to produce efficient estimates of simulated values but the error statistics of these estimates are difficult to compute. Randomized quasi-Monte Carlo methods have been developed to address this shortcoming. In… read more here.
Keywords: randomized quasi; monte carlo; carlo methods; quasi monte ... See more keywords
Time‐Continuous Quasi‐Monte Carlo Ray Tracing
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DOI: 10.1111/cgf.12985
Abstract: Domain‐continuous visibility determination algorithms have proved to be very efficient at reducing noise otherwise prevalent in stochastic sampling. Even though they come with an increased overhead in terms of geometrical tests and visibility information management,… read more here.
Keywords: ray tracing; time continuous; time; geometry ... See more keywords