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Quasi-Monte Carlo Method
In numerical analysis, the quasi-Monte Carlo method is a method for numerical integration and solving some other problems using low-discrepancy sequences (also called quasi-random sequences or sub-random sequences) to achieve variance reduction. This is in contrast to the regular Monte Carlo method or Monte Carlo integration, which are based on sequences of pseudorandom numbers. Monte Carlo and quasi-Monte Carlo methods are stated in a similar way. The problem is to approximate the integral of a function ''f'' as the average of the function evaluated at a set of points ''x''1, ..., ''x''''N'': : \int_ f(u)\,u \approx \frac\,\sum_^N f(x_i). Since we are integrating over the ''s''-dimensional unit cube, each ''x''''i'' is a vector of ''s'' elements. The difference between quasi-Monte Carlo and Monte Carlo is the way the ''x''''i'' are chosen. Quasi-Monte Carlo uses a low-discrepancy sequence such as the Halton sequence, the Sobol sequence, or the Faure sequence, whereas Mont ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Pseudorandom
A pseudorandom sequence of numbers is one that appears to be statistically random, despite having been produced by a completely deterministic and repeatable process. Pseudorandom number generators are often used in computer programming, as traditional sources of randomness available to humans (such as rolling dice) rely on physical processes not readily available to computer programs, although developments in hardware random number generator technology have challenged this. Background The generation of random numbers has many uses, such as for random sampling, Monte Carlo methods, board games, or gambling. In physics, however, most processes, such as gravitational acceleration, are deterministic, meaning that they always produce the same outcome from the same starting point. Some notable exceptions are radioactive decay and quantum measurement, which are both modeled as being truly random processes in the underlying physics. Since these processes are not practical sources of ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Mathematical Finance
Mathematical finance, also known as quantitative finance and financial mathematics, is a field of applied mathematics, concerned with mathematical modeling in the financial field. In general, there exist two separate branches of finance that require advanced quantitative techniques: derivatives pricing on the one hand, and risk and portfolio management on the other. Mathematical finance overlaps heavily with the fields of computational finance and financial engineering. The latter focuses on applications and modeling, often with the help of stochastic asset models, while the former focuses, in addition to analysis, on building tools of implementation for the models. Also related is quantitative investing, which relies on statistical and numerical models (and lately machine learning) as opposed to traditional fundamental analysis when managing portfolios. French mathematician Louis Bachelier's doctoral thesis, defended in 1900, is considered the first scholarly work on ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Harald Niederreiter
Harald G. Niederreiter (born June 7, 1944) is an Austrian mathematician known for his work in discrepancy theory, algebraic geometry, quasi-Monte Carlo methods, and cryptography. Education and career Niederreiter was born on June 7, 1944, in Vienna, and grew up in Salzburg... He began studying mathematics at the University of Vienna in 1963, and finished his doctorate there in 1969, with a thesis on discrepancy in compact abelian groups supervised by Edmund Hlawka. He began his academic career as an assistant professor at the University of Vienna, but soon moved to Southern Illinois University. During this period he also visited the University of Illinois at Urbana-Champaign, Institute for Advanced Study, and University of California, Los Angeles. In 1978 he moved again, becoming the head of a new mathematics department at the University of the West Indies in Jamaica. In 1981 he returned to Austria for a post at the Austrian Academy of Sciences, where from 1989 to 2000 he serve ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Randomization
Randomization is a statistical process in which a random mechanism is employed to select a sample from a population or assign subjects to different groups.Oxford English Dictionary "randomization" The process is crucial in ensuring the random allocation of experimental units or treatment protocols, thereby minimizing selection bias and enhancing the Validity (statistics), statistical validity. It facilitates the objective comparison of treatment effects in Design of experiments, experimental design, as it equates groups statistically by balancing both known and unknown factors at the outset of the study. In statistical terms, it underpins the principle of probabilistic equivalence among groups, allowing for the unbiased estimation of treatment effects and the generalizability of conclusions drawn from sample data to the broader population. Randomization is not haphazard; instead, a stochastic process, random process is a sequence of random variables describing a process whose outcom ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Deterministic Algorithm
In computer science, a deterministic algorithm is an algorithm that, given a particular input, will always produce the same output, with the underlying machine always passing through the same sequence of states. Deterministic algorithms are by far the most studied and familiar kind of algorithm, as well as one of the most practical, since they can be run on real machines efficiently. Formally, a deterministic algorithm computes a mathematical function; a function has a unique value for any input in its domain, and the algorithm is a process that produces this particular value as output. Formal definition Deterministic algorithms can be defined in terms of a state machine: a ''state'' describes what a machine is doing at a particular instant in time. State machines pass in a discrete manner from one state to another. Just after we enter the input, the machine is in its ''initial state'' or ''start state''. If the machine is deterministic, this means that from this point onwar ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
CiteSeer
CiteSeerX (formerly called CiteSeer) is a public search engine and digital library for scientific and academic papers, primarily in the fields of computer and information science. CiteSeer's goal is to improve the dissemination and access of academic and scientific literature. As a non-profit service that can be freely used by anyone, it has been considered part of the open access movement that is attempting to change academic and scientific publishing to allow greater access to scientific literature. CiteSeer freely provided Open Archives Initiative metadata of all indexed documents and links indexed documents when possible to other sources of metadata such as DBLP and the ACM Portal. To promote open data, CiteSeerX shares its data for non-commercial purposes under a Creative Commons license. CiteSeer is considered a predecessor of academic search tools such as Google Scholar and Microsoft Academic Search. CiteSeer-like engines and archives usually only harvest documents fro ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Russel E
Russel is an alternate spelling of Russell. Russel may also refer to: People with the given name * Russel Arnold (born 1973), Sri Lankan cricketer * Russel Crouse (1893–1966), American playwright * Russel Farnham (1784–1832), American frontiersman * Russel Honoré (born 1947), American general * Russel Mthembu (born 1947), South African singer * Russel Mwafulirwa (born 1983), Malawian soccer player * Russel Norman (born 1967), New Zealand politician * Russel B. Nye (1913–1993), American professor * Russel Walder (born 1959), American jazz musician * Russel Ward (1914–1995), Australian historian * Russel Wong (born 1961), Singaporean photographer * Russel Wright (1904–1976), American industrial designer People with the surname * Andrew Russel (1856–1934), American politician * Rae Russel (1925–2008), American photographer * Tony Russel (1925–2017), American actor People with the middle name *Alfred Russel Wallace (1823–1913), British naturalist Ficti ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Curse Of Dimensionality
The curse of dimensionality refers to various phenomena that arise when analyzing and organizing data in high-dimensional spaces that do not occur in low-dimensional settings such as the three-dimensional physical space of everyday experience. The expression was coined by Richard E. Bellman when considering problems in dynamic programming. The curse generally refers to issues that arise when the number of datapoints is small (in a suitably defined sense) relative to the intrinsic dimension of the data. Dimensionally cursed phenomena occur in domains such as numerical analysis, sampling, combinatorics, machine learning, data mining and databases. The common theme of these problems is that when the dimensionality increases, the volume of the space increases so fast that the available data become sparse. In order to obtain a reliable result, the amount of data needed often grows exponentially with the dimensionality. Also, organizing and searching data often relies on detecting a ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Newton–Cotes Formulas
In numerical analysis, the Newton–Cotes formulas, also called the Newton–Cotes quadrature rules or simply Newton–Cotes rules, are a group of formulas for numerical integration (also called ''quadrature'') based on evaluating the integrand at equally spaced points. They are named after Isaac Newton and Roger Cotes. Newton–Cotes formulas can be useful if the value of the integrand at equally spaced points is given. If it is possible to change the points at which the integrand is evaluated, then other methods such as Gaussian quadrature and Clenshaw–Curtis quadrature are probably more suitable. Description It is assumed that the value of a function defined on [a, b] is known at n + 1 equally spaced points: a \leq x_0 < x_1 < \dots < x_n \leq b. There are two classes of Newton–Cotes quadrature: they are called "closed" when and , i.e. they use the function values at the interval endpoints, and "open" when |
Simpson's Rule
In numerical integration, Simpson's rules are several approximations for definite integrals, named after Thomas Simpson (1710–1761). The most basic of these rules, called Simpson's 1/3 rule, or just Simpson's rule, reads \int_a^b f(x) \, dx \approx \frac \left (a) + 4f\left(\frac\right) + f(b)\right In German and some other languages, it is named after Johannes Kepler, who derived it in 1615 after seeing it used for wine barrels (barrel rule, ). The approximate equality in the rule becomes exact if is a polynomial up to and including 3rd degree. If the 1/3 rule is applied to ''n'' equal subdivisions of the integration range 'a'', ''b'' one obtains the composite Simpson's 1/3 rule. Points inside the integration range are given alternating weights 4/3 and 2/3. Simpson's 3/8 rule, also called Simpson's second rule, requires one more function evaluation inside the integration range and gives lower error bounds, but does not improve the order of the error. If the 3 ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Trapezoidal Rule
In calculus, the trapezoidal rule (or trapezium rule in British English) is a technique for numerical integration, i.e., approximating the definite integral: \int_a^b f(x) \, dx. The trapezoidal rule works by approximating the region under the graph of the function f(x) as a trapezoid and calculating its area. It follows that \int_^ f(x) \, dx \approx (b-a) \cdot \tfrac(f(a)+f(b)). The integral can be even better approximated by Partition of an interval, partitioning the integration interval, applying the trapezoidal rule to each subinterval, and summing the results. In practice, this "chained" (or "composite") trapezoidal rule is usually what is meant by "integrating with the trapezoidal rule". Let \ be a partition of [a,b] such that a=x_0 < x_1 < \cdots < x_ < x_N = b and be the length of the -th subinterval (that is, ), then |
Computational Finance
Computational finance is a branch of applied computer science that deals with problems of practical interest in finance.Rüdiger U. Seydel, ''Tools for Computational Finance'', Springer; 3rd edition (May 11, 2006) 978-3540279235 Some slightly different definitions are the study of data and algorithms currently used in finance and the mathematics of computer programs that realize financial mathematical model, models or systems.Cornelis A. Los, ''Computational Finance'' World Scientific Pub Co Inc (December 2000) Computational finance emphasizes practical numerical analysis, numerical methods rather than mathematical proofs and focuses on techniques that apply directly to economics, economic analyses.Mario J. Miranda and Paul L. Fackler, ''Applied Computational Economics and Finance'', The MIT Press (September 16, 2002) It is an interdisciplinary field between mathematical finance and numerical analysis, numerical methods.Omur Ugur, ''Introduction to Computational Finance'', Imper ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
