Monte Carlo and Quasi-Monte Carlo Methods 2012 PDF
Preview Monte Carlo and Quasi-Monte Carlo Methods 2012
Springer Proceedings in Mathematics & Statistics Josef Dick Frances Y. Kuo Gareth W. Peters Ian H. Sloan Editors Monte Carlo and Quasi-Monte Carlo Methods 2012 Springer Proceedings in Mathematics and Statistics Volume 65 Forfurthervolumes: http://www.springer.com/series/10533 Springer Proceedings in Mathematics and Statistics This book series features volumes composed of selected contributions from workshops and conferences in all areas of current research in mathematics and statistics, including OR and optimization. In addition to an overall evaluation of the interest, scientific quality, and timeliness of each proposal at the hands of the publisher,individualcontributionsare allrefereedto the high qualitystandardsof leadingjournalsinthefield.Thus,thisseriesprovidestheresearchcommunitywith well-edited, authoritative reports on developments in the most exciting areas of mathematicalandstatisticalresearchtoday. Josef Dick • Frances Y. Kuo • Gareth W. Peters Ian H. Sloan Editors Monte Carlo and Quasi-Monte Carlo Methods 2012 123 Editors JosefDick FrancesY.Kuo GarethW.Peters IanH.Sloan TheUniversityofNewSouthWales SchoolofMathematicsandStatistics NewSouthWales Sydney,Australia ISSN2194-1009 ISSN2194-1017(electronic) ISBN978-3-642-41094-9 ISBN978-3-642-41095-6(eBook) DOI10.1007/978-3-642-41095-6 SpringerHeidelbergNewYorkDordrechtLondon LibraryofCongressControlNumber:2013956514 MathematicsSubjectClassification(2010):Primary:11K38,11K45,65-06,65C05,65C10,65D30 Secondary:11K38,65D18,65D32,65R20,91B25 ©Springer-VerlagBerlinHeidelberg2013 Thisworkissubjecttocopyright.AllrightsarereservedbythePublisher,whetherthewholeorpartof thematerialisconcerned,specificallytherightsoftranslation,reprinting,reuseofillustrations,recitation, broadcasting,reproductiononmicrofilmsorinanyotherphysicalway,andtransmissionorinformation storageandretrieval,electronicadaptation,computersoftware,orbysimilarordissimilarmethodology nowknownorhereafterdeveloped.Exemptedfromthislegalreservationarebriefexcerptsinconnection with reviews or scholarly analysis or material supplied specifically for the purpose of being entered and executed on a computer system, for exclusive use by the purchaser of the work. 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Printedonacid-freepaper SpringerispartofSpringerScience+BusinessMedia(www.springer.com) Preface This volume represents the refereed proceedings of the Tenth International Con- ferenceonMonteCarloandQuasi-MonteCarloMethodsinScientificComputing, whichwasheldattheUniversityofNewSouthWales,Sydney,Australia,from13to 17February2012.Itcontainsalimitedselectionofarticlesbasedonpresentations givenattheconference.Theconferenceprogramwasarrangedwiththehelpofan internationalcommitteeconsistingof: • WilliamChen,MacquarieUniversity,Australia • RonaldCools,KULeuven,Belgium • JosefDick,UniversityofNewSouthWales,Australia(Conferenceorganizer) • HenriFaure,CNRSMarseille,France • AlanGenz,WashingtonStateUniversity,USA • MikeGiles,UniversityofOxford,UK • PaulGlasserman,ColumbiaUniversity,USA • MichaelGnewuch,UniversityofKaiserslautern,Germany • StefanHeinrich,UniversityofKaiserslautern,Germany • FredJ.Hickernell,IllinoisInstituteofTechnology,USA • AickeHinrichs,UniversityofRostock,Germany • StephenJoe,UniversityofWaikato,NewZealand • AnetaKaraivanova,BulgarianAcademyofScience,Bulgaria • AlexanderKeller,NVIDIA,Germany • DirkP.Kroese,UniversityofQueensland,Australia • FrancesY.Kuo,UniversityofNewSouthWales,Australia(Conferenceorganizer) • GerhardLarcher,JohannesKeplerUniversityLinz,Austria • PierreL’Ecuyer,UniversitédeMontréal,Canada • ChristianeLemieux,UniversityofWaterloo,Canada • PeterMathé,WeierstrassInstituteBerlin,Germany • MakotoMatsumoto,HiroshimaUniversity,Japan • KerrieMengersen,QueenslandUniversityofTechnology,Australia • ThomasMüller-Gronbach,UniversityofPassau,Germany • HaraldNiederreiter,RICAMLinzandUniversityofSalzburg,Austria • ErichNovak,UniversityofJena,Germany • ArtB.Owen,StanfordUniversity,USA v vi Preface • Gareth W. Peters, University of New South Wales, Australia, and University CollegeLondon,UK (Conferenceorganizer) • FriedrichPillichshammer,JohannesKeplerUniversityLinz,Austria • LeszekPlaskota,UniversityofWarsaw,Poland • EckhardPlaten,UniversityofTechnologySydney,Australia • KlausRitter,UniversityofKaiserslautern,Germany • GarethRoberts,UniversityofWarwick,UK • WolfgangCh.Schmid,UniversityofSalzburg,Austria • NikolaiSimonov,RussianAcademyofSciences,Russia • IanH.Sloan,UniversityofNewSouthWales,Australia(Conferenceorganizer) • IlyaM.Sobol’,RussianAcademyofSciences,Russia • JeromeSpanier,Claremont,California,USA • ShuTezuka,KyushuUniversity,Japan • XiaoqunWang,TsinghuaUniversity,China • GrzegorzW.Wasilkowski,UniversityofKentucky,USA • Henryk Woz´niakowski, Columbia University, USA, and University of Warsaw, Poland This conferencecontinuedthe traditionofbiennialMCQMC conferencesiniti- atedbyHaraldNiederreiter,heldpreviouslyat: • UniversityofNevadainLasVegas,Nevada,USA,inJune1994 • UniversityofSalzburg,Austria,inJuly1996 • ClaremontCollegesinClaremont,California,USA,inJune1998 • HongKongBaptistUniversityinHongKong,China,inNovember2000 • NationalUniversityofSingapore,RepublicofSingapore,inNovember2002 • PalaisdesCongrèsinJuan-les-Pins,France,inJune2004 • UlmUniversity,Germany,inJuly2006 • UniversitédeMontréal,Canada,inJuly2008 • UniversityofWarsaw,Poland,inAugust2010 ThenextconferencewillbeheldattheKULeuven,Belgium,inApril2014. The proceedingsofthese previousconferenceswereallpublishedby Springer- Verlag,underthefollowingtitles: • Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing (H.NiederreiterandP.J.-S.Shiue,eds.) • Monte Carlo and Quasi-Monte Carlo Methods 1996 (H. Niederreiter, P.Hellekalek,G.Larcher,andP.Zinterhof,eds.) • Monte Carlo and Quasi-Monte Carlo Methods 1998 (H. Niederreiter and J.Spanier,eds.) • MonteCarloandQuasi-MonteCarloMethods2000(K.-T.Fang,F.J.Hickernell, andH.Niederreiter,eds.) • MonteCarloandQuasi-MonteCarloMethods2002(H.Niederreiter,ed.) • Monte Carlo and Quasi-Monte Carlo Methods 2004 (H. Niederreiter and D.Talay,eds.) • MonteCarloandQuasi-MonteCarloMethods2006(A.Keller,S.Heinrich,and H.Niederreiter,eds.) Preface vii • MonteCarloandQuasi-MonteCarloMethods2008(P.L’EcuyerandA.Owen, eds.) • MonteCarloandQuasi-MonteCarloMethods2010(L.PlaskotaandH.Woz´ni- akowski,eds.) The program of the conference was rich and varied with over 140 talks being presented. Highlights were the invited plenary talks given by Pierre Del Moral (INRIA and University of Bordeaux 1), Mike Giles (Oxford University), Fred J. Hickernell (Illinois Institute of Technology),Aicke Hinrichs (University of Jena), Michael Lacey (Georgia Institute of Technology),Kerrie Mengersen (Queensland University of Technology), Andreas Neuenkirch (University of Kaiserslautern), Art B. Owen (Stanford University), Leszek Plaskota (University of Warsaw), and EckhardPlaten(UniversityofTechnologySydney),andthetutorialsgivenbyArtB. Owen(StanfordUniversity),PierreDelMoral(INRIAandUniversityofBordeaux 1),JosefDick(UniversityofNewSouthWales),andAlexKeller(NVIDIA). The papers in this volume were carefully screened and cover both the theory andtheapplicationsofMonteCarloandquasi-MonteCarlomethods.Wethankthe anonymousreviewersfortheirreportsandmanyotherswhocontributedenormously totheexcellentqualityoftheconferencepresentationsandtothehighstandardsfor publicationintheseproceedingsbycarefulreviewoftheabstractsandmanuscripts thatweresubmitted. We gratefully acknowledge generous financial support of the conference by the School of Mathematics and Statistics of the University of New South Wales, the Australian Mathematical Society (AustMS), the Australian and New Zealand Industrial and Applied Mathematics (ANZIAM), the Australian Mathematical Sciences Institute (AMSI), the Commonwealth Scientific and Industrial Research Organisation(CSIRO),andtheNationalScienceFoundation(NSF). Finally,we wantto expressourgratitudeto Springer-Verlagforpublishingthis volume. Sydney,Australia JosefDick September2013 FrancesY.Kuo GarethW.Peters IanH.Sloan Contents PartI InvitedArticles ComputingFunctionalsofSquareRootandWishartProcesses UndertheBenchmarkApproachviaExactSimulation ..................... 3 JanBaldeauxandEckhardPlaten TheSupremumNormoftheDiscrepancyFunction:Recent ResultsandConnections ........................................................ 23 DmitriyBilykandMichaelLacey AnIntroductiontoStochasticParticleIntegrationMethods: WithApplicationstoRiskandInsurance ..................................... 39 PierreDelMoral,GarethW.Peters,andChristelleVergé MultilevelMonteCarloMethods............................................... 83 MichaelB.Giles GuaranteedConservativeFixedWidthConfidenceIntervals viaMonteCarloSampling ...................................................... 105 FredJ.Hickernell,LanJiang,YueweiLiu,andArtB.Owen Discrepancy,IntegrationandTractability..................................... 129 AickeHinrichs NoisyInformation:Optimality,Complexity,Tractability................... 173 LeszekPlaskota PartII Tutorial Quasi-MonteCarloImageSynthesisinaNutshell........................... 213 AlexanderKeller ix
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