Monte Carlo and Quasi-Monte Carlo Methods 2010

719 Pages·2012·6.762 MB·English

by  Leszek Plaskota, Henryk Woźniakowski (eds.)

Springer Proceedings in Mathematics
and Statistics
Volume 23
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Leszek Plaskota Henryk Woz´niakowski
(cid:2)
Editors
Monte Carlo
and Quasi-Monte Carlo
Methods 2010
123
Editors
LeszekPlaskota HenrykWoz´niakowski
UniversityofWarsaw UniversityofWarsaw
InstituteofAppliedMathematics InstituteofAppliedMathematics
andMechanics andMechanics
Warsaw Warsaw
Poland Poland
and
ColumbiaUniversity
DepartmentofComputerScience
NewYork,NY
USA
ISSN2194-1009 ISSN2194-1017(electronic)
ISBN978-3-642-27439-8 ISBN978-3-642-27440-4(eBook)
DOI10.1007/978-3-642-27440-4
SpringerHeidelbergNewYorkDordrechtLondon
LibraryofCongressControlNumber:2012938963
MathematicalSubjectClassification(2010):Primary:11K45,65-06,65C05,65C10
Secondary:11K38,65D18,65D30,65D32,65R20,91B25
(cid:2)c Springer-VerlagBerlinHeidelberg2012
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Preface
We are pleased to present the refereed proceedings of the Ninth International
ConferenceonMonteCarloandQuasiMonteCarloMethodsinScientificComput-
ing(MCQMC2010).TheconferencewasheldonthemaincampusoftheUniversity
ofWarsaw,Poland,fromAugust15–20of2010.
The program of the conference was arranged and the refereeing of papers
was done with the help of an international committee consisting of: William
Chen (Macquarie University, Australia), Ronald Cools (Katholieke Universiteit
Leuven, Belgium), Josef Dick (University of New South Wales, Australia), Henri
Faure(CNRSMarseille,France),AlanGenz(WashingtonState University,USA),
Paul Glasserman (Columbia University, USA), Stefan Heinrich (University of
Kaiserslautern, Germany), Fred J. Hickernell (Illinois Institute of Technology,
USA), Stephen Joe (University of Waikato, New Zealand), Aneta Karaivanova
(BulgarianAcademyofSciences,Bulgaria),AleksanderKeller(NVIDIAResearch,
Berlin, Germany), Frances Y. Kuo (University of New South Wales, Australia),
Pierre L’Ecuyer (University of Montreal, Canada), Christiane Lemieux (Univer-
sity of Waterloo, Canada), Gerhard Larcher (University of Linz, Austria), Peter
Mathe´ (Weierstrass Institute, Berlin, Germany), Makoto Matsumoto (Hiroshima
University, Japan), Thomas Mu¨ller-Gronbach (University of Passau, Germany),
Harald Niederreiter (RICAM Linz and University of Salzburg, Austria), Erich
Novak (University of Jena, Germany), Art. B. Owen (Stanford University, USA),
Friedrich Pillichshammer (University of Linz, Austria), Leszek Plaskota (Univer-
sity of Warsaw, Poland), Klaus Ritter (University of Kaiserslautern, Germany),
WolfgangCh.Schmid(UniversityofSalzburg,Austria),NikolaiSimonov(Russian
Academy of Sciences, Russia), Ian H. Sloan (University of New South Wales,
Australia),IlyaM.Sobol’(RussianAcademyofSciences,Russia),JeromeSpanier
(Claremont, California, USA), Shu Tezuka (Kyushu University, Japan), Xiaoqun
Wang (Tsinghua University, China), Grzegorz W. Wasilkowski (University of
Kentucky, USA), Henryk Woz´niakowski (chair, Columbia University, USA, and
UniversityofWarsaw,Poland).
v
vi Preface
ThelocalorganizingcommitteeofMCQMC2010consistedofPiotrKrzyz˙ano-
wski(UniversityofWarsaw),MarekKwas(WarsawSchoolofEconomics),Leszek
PlaskotaandHenrykWoz´niakowski.
TheMCQMCconferenceswerecreatedbyHaraldNiederreiterandhavebecome
theworld’smajoreventonbothMonteCarloandQuasi-MonteCarlomethods.The
meeting in Warsaw followed the successful meetings in Las Vegas, USA (1994),
Salzburg,Austria (1996),Claremont, USA (1998),Hong Kong (2000),Singapore
(2002),Juan-Les-Pins,France(2004),Ulm,Germany(2006),andMontreal,Canada
(2008).ThenextMCQMCconferencehasalreadybeenheldinSydney,Australia,
inFebruary2012.
The proceedings of the previous MCQMC conferences were all published by
Springer-Verlag under the following titles: Monte Carlo and Quasi-Monte Carlo
Methods in Computing (H. Niederreiter and P.J.-S. Shiue eds.), Monte Carlo
andQuasi-MonteCarlo Methods1996,(H. Niederreiter,P.Hellekalek,G. Larcher
and P. Zinterhof, eds.), Monte Carlo and Quasi-Monte Carlo Methods 1998
(H.NiederreiterandJ.Spanier,eds.),MonteCarloandQuasi-MonteCarloMethods
2000 (K.-T. Fang, F. J. Hickernell and H. Niederreiter, eds.), Monte Carlo and
Quasi-MonteCarlo Methods2002(H. Niederreiter,ed.),MonteCarlo andQuasi-
MonteCarloMethods2004(H.NiederreiterandD.Talay,eds.),MonteCarloand
Quasi-MonteCarloMethods2006(A.Keller,S.HeinrichandH.Niederreiter,eds.),
MonteCarloandQuasi-MonteCarloMethods2008(P.L’EcuyerandA.B.Owen,
eds.).
TheprogramoftheconferenceinWarsawconsistedoften1-hplenarytalksand
111 regular talks presented in 17 special sessions and 13 technical sessions. The
invited speakers were: Søren Asmussen (Aarhus University, Denmark), William
Chen (Macquarie University, Australia), Michael Gnewuch (Columbia Univer-
sity, USA), Emmanuel Gobet (Grenoble Institute of Technology, France), Stefan
Heinrich (University of Kaiserslautern, Germany), Pierre L’Ecuyer (University of
Montreal,Canada),FriedrichPillichshammer(UniversityofLinz,Austria),Gareth
Roberts(UniversityofWarwick,UnitedKingdom),IanH.Sloan(UniversityofNew
SouthWales,Australia),GrzegorzW.Wasilkowski(UniversityofKentucky,USA),
The proceedings contain a limited selection of papers based on presentations
givenattheconference.Thepaperswerecarefullyscreenedandtheycoverboththe
recentadvancesinthetheoryofMCandQMCmethodsaswellastheirnumerous
applicationsindifferentareasofcomputing.
WethankallthepeoplewhoparticipatedintheMCQMCconferenceinWarsaw
andpresentedexcellenttalks,aswellasallwhocontributedtotheorganizationof
the conference and to its proceedings. We appreciate the help of students during
theconference:PiotrGon´da,MateuszŁa¸cki,MateuszObidzin´ski,KasiaPe¸kalska,
Jakub Pe¸kalski, Klaudia Plaskota, Ola Plaskota and Marta Stupnicka. Our special
thanksgotoPiotrKrzyz˙anowskiwho,withthehelpofPawełBechler,PiotrGon´da,
PiotrKowalczyk,MateuszŁa¸ckiandLeszekMarcinkowski,providedtheinvaluable
supportineditingtheproceedings.
We gratefully acknowledgethe generousfinancial support of the University of
Warsaw, the Department of Mathematics, Informatics and Mechanics of the Uni-
Preface vii
versityofWarsaw,andtheCommitteeofthePolishAcademyofSciences.Weare
especiallythankfulforwarmhospitalityoftheRectoroftheUniversityofWarsaw,
ProfessorKatarzynaChałasin´ska-Macukow,andtheVice-Rector,ProfessorMarcin
Pałys,duringtheconference.
Finally,we wantto expressourgratitudeto Springer-Verlagforpublishingthis
volume.
Warsaw, LeszekPlaskota
April2012 HenrykWoz´niakowski
•
Contents
PartI InvitedArticles
MarkovBridges,BisectionandVarianceReduction......................... 3
SørenAsmussenandAsgerHobolth
UpperBoundsinDiscrepancyTheory......................................... 23
WilliamW.L.Chen
Entropy,Randomization,Derandomization,andDiscrepancy ............. 43
MichaelGnewuch
AsymptoticEquivalenceBetweenBoundaryPerturbationsand
DiscreteExitTimes:ApplicationtoSimulationSchemes.................... 79
E.Gobet
StochasticApproximationofFunctionsandApplications................... 95
StefanHeinrich
OnFiguresofMeritforRandomly-ShiftedLatticeRules................... 133
PierreL’EcuyerandDavidMunger
AStudyoftheEfficiencyofExactMethodsforDiffusion
Simulation......................................................................... 161
StefanoPeluchetti,andGarethO.Roberts
PolynomialLatticePointSets................................................... 189
FriedrichPillichshammer
LiberatingtheDimensionforFunctionApproximation
andIntegration................................................................... 211
G.W.Wasilkowski
ix