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Dissertations / Theses on the topic 'Monte Carlo'

Author: Grafiati

Published: 4 June 2021

Last updated: 25 July 2025

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1

Janzon, Krister. "Monte Carlo Path Simulation and the Multilevel Monte Carlo Method." Thesis, Umeå universitet, Institutionen för fysik, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-151975.

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A standard problem in the field of computational finance is that of pricing derivative securities. This is often accomplished by estimating an expected value of a functional of a stochastic process, defined by a stochastic differential equation (SDE). In such a setting the random sampling algorithm Monte Carlo (MC) is useful, where paths of the process are sampled. However, MC in its standard form (SMC) is inherently slow. Additionally, if the analytical solution to the underlying SDE is not available, a numerical approximation of the process is necessary, adding another layer of computational

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2

Jun, Seong-Hwan. "Entangled Monte Carlo." Thesis, University of British Columbia, 2013. http://hdl.handle.net/2429/44953.

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A recurrent problem in statistics is that of computing an expectation involving intractable integration. In particular, this problem arises in Bayesian statistics when computing an expectation with respect to a posterior distribution known only up to a normalizing constant. A common solution is to use Monte Carlo simulation to estimate the target expectation. Two of the most commonly adopted simulation methods are Markov Chain Monte Carlo (MCMC) and Sequential Monte Carlo (SMC) methods. However, these methods fail to scale up with the size of the inference problem. For MCMC, the problem take

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3

Dickinson, Andrew Samuel. "On the analysis of Monte Carlo and quasi-Monte Carlo methods." Thesis, University of Oxford, 2004. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.409715.

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4

Göncü, Ahmet. "Monte Carlo and quasi-Monte Carlo methods in pricing financial derivatives." Tallahassee, Florida : Florida State University, 2009. http://etd.lib.fsu.edu/theses/available/etd-06232009-140439/.

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Thesis (Ph. D.)--Florida State University, 2009.<br>Advisor: Giray Ökten, Florida State University, College of Arts and Sciences, Dept. of Mathematics. Title and description from dissertation home page (viewed on Oct. 5, 2009). Document formatted into pages; contains x, 105 pages. Includes bibliographical references.

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5

Berezovska, Ganna [Verfasser], and Alexander [Akademischer Betreuer] Blumen. "Monte Carlo study of semiflexible polymers = Monte Carlo Studie von semiflexiblen Polymeren." Freiburg : Universität, 2011. http://d-nb.info/1125885467/34.

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6

Drumond, Lorenzo. "Il Metodo Monte Carlo." Bachelor's thesis, Alma Mater Studiorum - Università di Bologna, 2020. http://amslaurea.unibo.it/20698/.

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La tesi introduce le tecniche di approssimazione numerica note come Metodo Monte Carlo. Dopo una breve presentazione dell'apparato teorico che giustifica il funzionamento di questo metodo, si procede con uno studio sulla stima dell'errore, focalizzando l'interesse sulla dimostrazione del Teorema di Berry-Esseen. La tesi continua affrontando il tema della generazione di numeri pseudocasuali, fondamentali nel Metodo Monte Carlo, per poi finire con tre esempi di applicazione.

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7

Chin, Mary Pik Wai. "Monte Carlo portal dosimetry." Thesis, Cardiff University, 2005. http://orca.cf.ac.uk/54085/.

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This project developed a solution for verifying external photon beam radiotherapy. The solution is based on a calibration chain for deriving portal dose maps from acquired portal images, and a calculation framework for predicting portal dose maps. Quantitative comparison between acquired and predicted portal dose maps accomplishes both geometric (patient positioning with respect to the beam) and dosimetric (2D fluence distribution of the beam) verifications. A disagreement would indicate that beam delivery had not been according to plan. The solution addresses the clinical need for verifying r

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8

McNeil-Watson, Graham. "Phase switch Monte Carlo." Thesis, University of Bath, 2007. https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.486842.

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Computational studies of phase behaviour have always proved difficult, since phase . transitions are inherently slow processes compared to accessible simulation timescales. Despite valiant efforts by researchers there remains a dearth of efficient, robust and scalable methods for determining phase equilibria,Ã‚Â· especially in the case of fluid-crystalline solid transitions. This thesis is about such phase coexistence problems, the existing solutions, and more advanced methods that have only recently come into their own. ... Extended sampling methods are examined in detail, and applied to a te

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9

Bakra, Eleni. "Aspects of population Markov chain Monte Carlo and reversible jump Markov chain Monte Carlo." Thesis, University of Glasgow, 2009. http://theses.gla.ac.uk/1247/.

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10

Bryskhe, Henrik. "Optimization of Monte Carlo simulations." Thesis, Uppsala University, Department of Information Technology, 2009. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-121843.

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<p>This thesis considers several different techniques for optimizing Monte Carlo simulations. The Monte Carlo system used is Penelope but most of the techniques are applicable to other systems. The two mayor techniques are the usage of the graphics card to do geometry calculations, and raytracing. Using graphics card provides a very efficient way to do fast ray and triangle intersections. Raytracing provides an approximation of Monte Carlo simulation but is much faster to perform. A program was also written in order to have a platform for Monte Carlo simulations where the different techniques

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11

Zeineh, Rami. "Adaptive threshold Monte Carlo localization." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 2001. http://www.collectionscanada.ca/obj/s4/f2/dsk3/ftp04/MQ61962.pdf.

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12

Holenstein, Roman. "Particle Markov chain Monte Carlo." Thesis, University of British Columbia, 2009. http://hdl.handle.net/2429/7319.

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Markov chain Monte Carlo (MCMC) and sequential Monte Carlo (SMC) methods have emerged as the two main tools to sample from high-dimensional probability distributions. Although asymptotic convergence of MCMC algorithms is ensured under weak assumptions, the performance of these latters is unreliable when the proposal distributions used to explore the space are poorly chosen and/or if highly correlated variables are updated independently. In this thesis we propose a new Monte Carlo framework in which we build efficient high-dimensional proposal distributions using SMC methods. This allows us to

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13

Byrd, Jonathan Michael Robert. "Parallel Markov Chain Monte Carlo." Thesis, University of Warwick, 2010. http://wrap.warwick.ac.uk/3634/.

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The increasing availability of multi-core and multi-processor architectures provides new opportunities for improving the performance of many computer simulations. Markov Chain Monte Carlo (MCMC) simulations are widely used for approximate counting problems, Bayesian inference and as a means for estimating very highdimensional integrals. As such MCMC has found a wide variety of applications in fields including computational biology and physics,financial econometrics, machine learning and image processing. This thesis presents a number of new method for reducing the runtime of Markov Chain Monte

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14

Lewis, R. D. "Monte Carlo modelling for radiotherapy." Thesis, Swansea University, 2000. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.637892.

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The Monte Carlo code MCNP-4B has been utilised to investigate the origins of radiation dose perturbation in the head and neck region, arising from natural heterogeneities, the changing external contours of the patient, boundaries between materials of different atomic number and prosthetic implants. MCNP-4B was used to develop a simple model of a linear accelerator treatment head which incorporated the electron target, primary collimator, beam flattening filter and the secondary collimators. The model was used to calculate the energy spectra and angular distribution of the x-ray beam from a 4 M

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15

Taft, Keith. "Monte Carlo methods for radiosity." Thesis, University of Liverpool, 2002. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.272796.

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16

Whiteley, Nicholas Paul. "Advances in Monte Carlo filtering." Thesis, University of Cambridge, 2009. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.611476.

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17

Badinski, Alexander Nikolai. "Forces in quantum Monte Carlo." Thesis, University of Cambridge, 2008. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.612494.

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18

Strathmann, Heiko. "Kernel methods for Monte Carlo." Thesis, University College London (University of London), 2018. http://discovery.ucl.ac.uk/10040707/.

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This thesis investigates the use of reproducing kernel Hilbert spaces (RKHS) in the context of Monte Carlo algorithms. The work proceeds in three main themes. Adaptive Monte Carlo proposals: We introduce and study two adaptive Markov chain Monte Carlo (MCMC) algorithms to sample from target distributions with non-linear support and intractable gradients. Our algorithms, generalisations of random walk Metropolis and Hamiltonian Monte Carlo, adaptively learn local covariance and gradient structure respectively, by modelling past samples in an RKHS. We further show how to embed these methods into

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19

Silva, Ivair Ramos. "Otimalidade de Testes Monte Carlo." Universidade Federal de Minas Gerais, 2011. http://hdl.handle.net/1843/ICED-8H2HFS.

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A operacionalização de um teste de hipóteses é condicionada ao conhecimento da distribuição de probabilidade da estatística de teste sob a hipótese nula H0. Caso não se conheça a distribuição da estatística de teste sob H0, sua distribuição assintótica pode ser usada para que a decisão sobre a rejeição ou não de H0 possa ser feita, o que exige o estudo dos tamanhos amostrais para os quais tal distribuição assintótica se verifica. Quando a distribuição assintótica também não pode ser deduzida analiticamente, métodos de reamostragem podem ser aplicados para a construção de um critério alternativ

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20

Lin, Xichen. "Monte Carlo Simulation and Integration." Scholarship @ Claremont, 2018. https://scholarship.claremont.edu/cmc_theses/2009.

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In this paper, we introduce the Tootsie Pop Algorithm and explore its use in different contexts. It can be used to estimate more general problems where a measure is defined, or in the context of statistics application, integration involving high dimensions. The Tootsie Pop Algorithm was introduced by Huber and Schott[2] The general process of Tootsie Pop Algorithm, just like what its name suggests, is a process of peeling down the outer shell, which is the larger enclosing set, to the center, which is the smaller enclosed. We obtain the average number of peels, which gives us an understanding

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21

Tuffin, Bruno. "Simulation acceleree par les methodes de monte carlo et quasi-monte carlo : theorie et applications." Rennes 1, 1997. http://www.theses.fr/1997REN10181.

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Dans cette these nous etudions et appliquons les methodes de monte carlo et quasi-monte carlo. Nous nous interessons premierement a la theorie. Les methodes de quasi-monte carlo sont basees sur deux notions : la variation et la discrepance. Comme premiere contribution, nous ameliorons la repartition d'une famille importante de suites a discrepance faible, les suites de halton. Nous realisons ensuite une technique analogue a la reduction de la variance dans les methodes de monte carlo, la reduction de la variation. La borne de l'erreur n'etant que rarement utilisable en pratique, nous proposons

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22

Hoffmann, Jochen. "Monte-Carlo- und Pfad-Integral-Monte-Carlo-Simulationen zu Strukturen und Phasenübergängen in Nano-Porenkondensaten." [S.l. : s.n.], 2002. http://www.bsz-bw.de/cgi-bin/xvms.cgi?SWB9910270.

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23

Waldeckerová, Naďa. "Option pricing using Monte Carlo methods." Master's thesis, Vysoká škola ekonomická v Praze, 2015. http://www.nusl.cz/ntk/nusl-206936.

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This thesis aims to analyse different Monte Carlo methods when applied to the problem of option pricing. Closer attention is paid to three variance reduction techniques, namely control variathes, importance sampling and antithetic variables, and two different approaches, least-squares Monte Carlo and quasi-Monte Carlo methods. The detailed analysis of the differences and improvements is done on a problem of plain vanilla option pricing. At the end the methods are each applied to valuation of different exotic options.

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24

Ounaissi, Daoud. "Méthodes quasi-Monte Carlo et Monte Carlo : application aux calculs des estimateurs Lasso et Lasso bayésien." Thesis, Lille 1, 2016. http://www.theses.fr/2016LIL10043/document.

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La thèse contient 6 chapitres. Le premier chapitre contient une introduction à la régression linéaire et aux problèmes Lasso et Lasso bayésien. Le chapitre 2 rappelle les algorithmes d’optimisation convexe et présente l’algorithme FISTA pour calculer l’estimateur Lasso. La statistique de la convergence de cet algorithme est aussi donnée dans ce chapitre en utilisant l’entropie et l’estimateur de Pitman-Yor. Le chapitre 3 est consacré à la comparaison des méthodes quasi-Monte Carlo et Monte Carlo dans les calculs numériques du Lasso bayésien. Il sort de cette comparaison que les points de Hamme

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25

Mandreoli, Lorenzo. "Density based Kinetic Monte Carlo Methods." [S.l.] : [s.n.], 2005. http://deposit.ddb.de/cgi-bin/dokserv?idn=975329111.

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26

Brangian, Claudio. "Monte Carlo simulations of Potts glasses." [S.l.] : [s.n.], 2002. http://ArchiMeD.uni-mainz.de/pub/2002/0115/diss.pdf.

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27

Radev, Rossen. "Monte Carlo Group - Atomic Physics Department." Phd thesis, Monte Carlo Group, Atomic Physics Department, University of Sofia, 1997. http://cluster.phys.uni-sofia.bg:8080/.

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28

Sebastian, Shalin. "Empirical evaluation of Monte Carlo sampling /." Available to subscribers only, 2005. http://proquest.umi.com/pqdweb?did=1075709431&sid=9&Fmt=2&clientId=1509&RQT=309&VName=PQD.

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29

Schyberg, Oskar. "Monte Carlo Study of Reinsurance Contracts." Licentiate thesis, Mälardalens högskola, Akademin för utbildning, kultur och kommunikation, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-18374.

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This thesis is based on three articles concerning to experimental softwarefor evaluation of reinsurance contracts. In paper A we describe and usethe reinsurance analyser (ReAn), an open-source software for analysis ofreinsurance contacts. Moreover, we discuss experimental results, especiallythe risk comparison of excess-of-loss and largest claims reinsurance treaties.In paper B we expand the software including a new excess-of-loss treaty withupper limit. We perform experimental studies comparing extreme value andexcess-of-loss reinsurance treaties. In paper C, we perform a more in depthpresent

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30

Hine, Nicholas. "New applications of quantum Monte Carlo." Thesis, Imperial College London, 2007. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.446023.

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31

Zhang, Kai. "Monte Carlo methods in derivative modelling." Thesis, University of Warwick, 2011. http://wrap.warwick.ac.uk/35689/.

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This thesis addresses issues in discretization and variance reduction methods for Monte Carlo simulation. For the discretization methods, we investigate the convergence properties of various Itˆo-Taylor schemes and the strong Taylor expansion (Siopacha and Teichmann [77]) for the LIBOR market model. We also provide an improvement on the strong Taylor expansion method which produces lower pricing bias. For the variance reduction methods, we have four contributions. Firstly, we formulate a general stochastic volatility model nesting many existing models in the literature. Secondly, we construct

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32

Maggio, Emilio. "Monte Carlo methods for visual tracking." Thesis, Queen Mary, University of London, 2008. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.497791.

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33

Lee, Ming Ripman, and 李明. "Monte Carlo simulation for confined electrolytes." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2000. http://hub.hku.hk/bib/B31240513.

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34

Phillips, Richard J. "Monte Carlo generation of Cerenkov radiation." Thesis, Monterey, California. Naval Postgraduate School, 1989. http://hdl.handle.net/10945/26090.

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35

Anderson, Jeppe Rosenkrantz. "Monte Carlo studies of BFKL physics." Thesis, Durham University, 2002. http://etheses.dur.ac.uk/4118/.

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We study the properties of the BFKL evolution of a (-channel gluon exchange in the high-energy limit. In particular we formulate a solution to the BFKL evolution equation in terms of an explicit sum over emitted gluons, which allows for a Monte Carlo integration of the resulting rapidity ordered multi-gluon phase space. This formulation allows for an introduction of the running of the coupling to the BFKL evolution. More importantly, the Monte Carlo implementation of the solution to the BFKL evolution equation allows for studies of the exclusive final states resulting from the exchange. The fu

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36

Crosby, Richard S. "Monte Carlo methods for lattice fields." Thesis, Massachusetts Institute of Technology, 1989. http://hdl.handle.net/1721.1/77699.

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37

Wang, Junxiong. "Option Pricing Using Monte Carlo Methods." Digital WPI, 2011. https://digitalcommons.wpi.edu/etd-theses/331.

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This project is devoted primarily to the use of Monte Carlo methods to simulate stock prices in order to price European call options using control variates, and to the use of the binominal model to price American put options. At the end, we can use the information to form a portfolio position using an Interactive Brokers paper trading account. This project was done as a part of the masters capstone course Math 573: Computational Methods of Financial Mathematics.

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38

Lu, Mengliu. "Option Pricing Using Monte Carlo Methods." Digital WPI, 2011. https://digitalcommons.wpi.edu/etd-theses/380.

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This paper aims to use Monte Carlo methods to price American call options on equities using the variance reduction technique of control variates and to price American put options using the binomial model. We use this information to form option positions. This project was done a part of the masters capstone course Math 573: Computational Methods of Financial Mathematics.

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39

Swetnam, Adam D. "Monte Carlo simulation of lattice polymers." Thesis, University of Warwick, 2011. http://wrap.warwick.ac.uk/49196/.

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The phase behaviour of lattice polymers and peptides, under various conditions, is investigated using Monte Carlo simulation. Wang-Landau sampling is used so that, in principle, phase diagrams can be determined from a single simulation. It is demonstrated that the pseudophase diagram for polymer molecules, in several environments, can be plotted when sampling only from the internal degrees of freedom, by determining an appropriate density of states. Several improvements to the simulation methods used are detailed. A new prescription for setting the modification factor in the Wang-Landau algori

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40

Clark, Michael A. "The rational hybrid Monte Carlo algorithm." Thesis, University of Edinburgh, 2005. http://hdl.handle.net/1842/13416.

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This thesis is concerned with the problem of generating gauge configurations for use with Monte Carlo lattice QCD calculations that include the effect of dynamical fermions. Although such effects have been included in calculations for a long time, historically it has been difficult to include the effect of the strange quark because of the square root of the Dirac operator that appears in the action. The lattice formulation of QCD is discussed, and the various fermion formulations are highlighted. Current popular algorithms used to generate gauge configurations are described, in particular the

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41

Xia, Yuan. "Multilevel Monte Carlo for jump processes." Thesis, University of Oxford, 2013. http://ora.ox.ac.uk/objects/uuid:7bc8e98a-0216-4551-a1f3-1b318e514ee8.

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This thesis consists of two parts. The first part (Chapters 2-4) considers multilevel Monte Carlo for option pricing in finite activity jump-diffusion models. We use a jump-adapted Milstein discretisation for constant rate cases and with the thinning method for bounded state-dependent rate cases. Multilevel Monte Carlo estimators are constructed for Asian, lookback, barrier and digital options. The computational efficiency is numerically demonstrated and analytically justified. The second part (Chapter 5) deals with option pricing problems in exponential Lévy models where the increments of the

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42

Poole, Thomas. "Calculating derivatives within quantum Monte Carlo." Thesis, Imperial College London, 2014. http://hdl.handle.net/10044/1/29359.

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Quantum Monte Carlo (QMC) methods are powerful, stochastic techniques for computing the properties of interacting electrons and nuclei with an accuracy comparable to the standard post-Hartree--Fock methods of quantum chemistry. Whilst the favourable scaling of QMC methods enables a quantum, many-body treatment of much larger systems, the lack of accurate and efficient total energy derivatives, required to compute atomic forces, has hindered their widespread adoption. The work contained within this thesis provides an efficient procedure for calculating exact derivatives of QMC results. This pro

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Zhang, Yichuan. "Scalable geometric Markov chain Monte Carlo." Thesis, University of Edinburgh, 2016. http://hdl.handle.net/1842/20978.

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Markov chain Monte Carlo (MCMC) is one of the most popular statistical inference methods in machine learning. Recent work shows that a significant improvement of the statistical efficiency of MCMC on complex distributions can be achieved by exploiting geometric properties of the target distribution. This is known as geometric MCMC. However, many such methods, like Riemannian manifold Hamiltonian Monte Carlo (RMHMC), are computationally challenging to scale up to high dimensional distributions. The primary goal of this thesis is to develop novel geometric MCMC methods applicable to large-scale

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44

Desplat, Jean-Christophe. "Monte Carlo simulations of amphiphilic systems." Thesis, Sheffield Hallam University, 1996. http://shura.shu.ac.uk/19557/.

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Results are presented from NVT Monte Carlo simulations of a three-dimensional lattice model of a binary mixture of solvent and surfactant chains in which free self assembly is allowed. It is demonstrated that the model exhibits a critical micelle concentration together with cluster size distributions consistent with experiment and theory (minimum and maximum in the distribution within the micellar region). The weight average aggregation number, N[w], increases linearly with the square root of the concentration of micellised surfactant as predicted theoretically. The dilute solution excess chem

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Fang, Youhan. "Efficient Markov Chain Monte Carlo Methods." Thesis, Purdue University, 2018. http://pqdtopen.proquest.com/#viewpdf?dispub=10809188.

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<p> Generating random samples from a prescribed distribution is one of the most important and challenging problems in machine learning, Bayesian statistics, and the simulation of materials. Markov Chain Monte Carlo (MCMC) methods are usually the required tool for this task, if the desired distribution is known only up to a multiplicative constant. Samples produced by an MCMC method are real values in <i>N</i>-dimensional space, called the configuration space. The distribution of such samples converges to the target distribution in the limit. However, existing MCMC methods still face many chall

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46

Jaeckel, Alain. "Simulations Monte Carlo de chaînes confinées." Montpellier 2, 1997. http://www.theses.fr/1997MON20206.

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Par simulation monte carlo (smc), nous generons a l'ordinateur des chemins statistiques (rfws) ou auto-evitants (saws) a l'interieur de pores spheriques de rayons variables. Ces chemins modelisent respectivement des chaines polymere confinees en solvant theta et en bon solvant. A partir des chaines ainsi construites, on estime les dimensions moyennes usuelles (distance moyenne bout a bout et rayon de giration moyen), les distributions des milieux et des extremites ou tous maillons confondus dans la sphere de confinement, la variation d'entropie en fonction du confinement impose et enfin la pre

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47

Mari, Martine. "L'opéra de Monte-Carlo : (1892-1951)." Nice, 1986. http://www.theses.fr/1986NICE2036.

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48

Johnson, Lindsay Marie. "Diffusion Monte Carlo studies of CH5+." The Ohio State University, 2006. http://rave.ohiolink.edu/etdc/view?acc_num=osu1413365241.

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49

Kłos, J. S., and J. U. Sommer. "Dendrimer solutions: a Monte Carlo study." Royal Society of Chemistry, 2016. https://tud.qucosa.de/id/qucosa%3A36416.

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We study the conformational properties of dendrimers with flexible spacers in solutions over a wide range of concentrations from dilute solutions to melts. By combining large scale computer simulations using the bond fluctuation model with scaling arguments we identify the semi-dilute regime of dendrimers which is controlled by the concentration behavior of the linear spacers. Associated with this observation we find that the decrease in the size of flexible dendrimers is accompanied by increasing interpenetration between the molecules with increasing concentration of the solution. In the melt

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50

Cornebise, Julien. "Méthodes de Monte Carlo séquentielles adaptatives." Paris 6, 2009. http://www.theses.fr/2009PA066152.

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