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A Tool for Custom Construction of QMC and RQMC Point Sets
We present LatNet Builder, a software tool to find good parameters for l...
12/18/2020 ∙ by Pierre L'Ecuyer, et al. ∙
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Variance Reduction with Array-RQMC for Tau-Leaping Simulation of Stochastic Biological and Chemical Reaction Networks
We explore the use of Array-RQMC, a randomized quasi-Monte Carlo method ...
09/01/2020 ∙ by Florian Puchhammer, et al. ∙
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An algorithm to compute the t-value of a digital net and of its projections
Digital nets are among the most successful methods to construct low-disc...
10/05/2019 ∙ by Pierre Marion, et al. ∙
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Sampling Conditionally on a Rare Event via Generalized Splitting
We propose and analyze a generalized splitting method to sample approxim...
09/08/2019 ∙ by Zdravko I. Botev, et al. ∙
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Monte Carlo and Quasi-Monte Carlo Density Estimation via Conditioning
Estimating the unknown density from which a given independent sample ori...
06/11/2019 ∙ by Pierre L'Ecuyer, et al. ∙
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Array-RQMC for option pricing under stochastic volatility models
Array-RQMC has been proposed as a way to effectively apply randomized qu...
05/28/2019 ∙ by Amal Ben Abdellah, et al. ∙
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Density estimation by Randomized Quasi-Monte Carlo
We consider the problem of estimating the density of a random variable X...
07/16/2018 ∙ by Amal Ben Abdellah, et al. ∙
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Reliability Estimation for Networks with Minimal Flow Demand and Random Link Capacities
We consider a network whose links have random capacities and in which a ...
05/09/2018 ∙ by Zdravko I. Botev, et al. ∙
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