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Tesi sul tema "Monte Carlo method"

Autore: Grafiati

Pubblicato: 4 giugno 2021

Ultima modifica: 25 luglio 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

Lacasse, Martin Daniel. "New dynamical Monte Carlo renormalization group method." Thesis, McGill University, 1990. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=60062.

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The kinetics of a phase transition has been studied by using a new dynamical Monte Carlo renormalization group method. Using a majority rule block-spin transformation in both space and contiguous times, we numerically renormalized the evolving configurations during the phase separation of a kinetic Ising model with spin-flip dynamics. We find that, in the scaling regime, the average domain size R(t) grows in time consistently with the $R sim t sp{1/2}$ Allen-Cahn antiphase boundary motion theory, although some correcting factors may exist. The same procedure has also been applied to the corres

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3

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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4

Veld, Pieter Jacob in 't. "Monte Carlo studies of liquid structure /." Digital version:, 2000. http://wwwlib.umi.com/cr/utexas/fullcit?p9992826.

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5

Hazelton, Martin Luke. "Method of density estimation with application to Monte Carlo methods." Thesis, University of Oxford, 1993. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.334850.

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6

Lefebvre, Geneviève 1978. "Practical issues in modern Monte Carlo integration." Thesis, McGill University, 2007. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=103209.

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Computing marginal likelihoods to perform Bayesian model selection is a challenging task, particularly when the models considered involve a large number of parameters. In this thesis, we propose the use of an adaptive quadrature algorithm to automate the selection of the grid in path sampling, an integration technique recognized as one of the most powerful Monte Carlo integration statistical methods for marginal likelihood estimation. We begin by examining the impact of two tuning parameters of path sampling, the choice of the importance density and the specification of the grid, which are bot

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7

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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8

Lee, Ming Ripman. "Monte Carlo simulation for confined electrolytes /." Hong Kong : University of Hong Kong, 2000. http://sunzi.lib.hku.hk/hkuto/record.jsp?B22055009.

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9

Yam, Chiu Yu. "Quasi-Monte Carlo methods for bootstrap." HKBU Institutional Repository, 2000. http://repository.hkbu.edu.hk/etd_ra/272.

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10

Wong, Ping-yung. "Molecular clusters on surfaces : a Monte Carlo study /." Hong Kong : University of Hong Kong, 1999. http://sunzi.lib.hku.hk/hkuto/record.jsp?B20566694.

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11

Obradovic, Borna Josip. "Multi-dimensional Monte Carlo simulation of ion implantation into complex structures /." Digital version accessible at:, 1999. http://wwwlib.umi.com/cr/utexas/main.

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12

Booth, G. H. "A novel quantum Monte Carlo method for molecular systems." Thesis, University of Cambridge, 2010. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.596772.

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This thesis is concerned with the development of a new <i>ab initio </i>Monte Carlo method for the evaluation of exact, basis set correlation energies. A simple set of rules acting on signed walkers allow for the simulation of the underlying imaginary-time Schrödinger equation in a finite space of Slater determinants. These rules return probabilistic events which are stochastically realised in each step of the algorithm. The antisymmetric space in which the dynamic operates precludes the emergence of Bosonic solutions, and the Fermion sign problem is countered without approximation by inclusio

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13

Vaičiulytė, Ingrida. "Study and application of Markov chain Monte Carlo method." Doctoral thesis, Lithuanian Academic Libraries Network (LABT), 2014. http://vddb.library.lt/obj/LT-eLABa-0001:E.02~2014~D_20141209_112440-55390.

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Markov chain Monte Carlo adaptive methods by creating computationally effective algorithms for decision-making of data analysis with the given accuracy are analyzed in this dissertation. The tasks for estimation of parameters of the multivariate distributions which are constructed in hierarchical way (skew t distribution, Poisson-Gaussian model, stable symmetric vector law) are described and solved in this research. To create the adaptive MCMC procedure, the sequential generating method is applied for Monte Carlo samples, introducing rules for statistical termination and for sample size regula

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14

Armour, Jessica D. "On the Gap-Tooth direct simulation Monte Carlo method." Thesis, Massachusetts Institute of Technology, 2012. http://hdl.handle.net/1721.1/72863.

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Thesis (S.M.)--Massachusetts Institute of Technology, Computation for Design and Optimization Program, February 2012.<br>"February 2012." Cataloged from PDF version of thesis.<br>Includes bibliographical references (p. [73]-74).<br>This thesis develops and evaluates Gap-tooth DSMC (GT-DSMC), a direct Monte Carlo simulation procedure for dilute gases combined with the Gap-tooth method of Gear, Li, and Kevrekidis. The latter was proposed as a means of reducing the computational cost of microscopic (e.g. molecular) simulation methods using simulation particles only in small regions of space (teet

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15

Fernandez-Carmona, Juan. "Modelling protein backbone loops using the Monte Carlo method." Thesis, University of Southampton, 2009. https://eprints.soton.ac.uk/173851/.

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Novel methods that perform local moves such as the gaussian bias or Con- certed Rotation with Angles, increase the exploration of the conformational phase space. These methods have been applied successfully to small systems, and have proved to be more efficient than the classical Monte Carlo method. The main aim of my work was to study and include backbone moves for proteins, such as the Concerted Rotation with Angle (CRA) and the gaussian bias in the ProtoMS package. The CRA was then applied to several systems of biological interest to compute relative binding free energies and conformational

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16

Zheng, Zhongrong. "Analysis of swapping and tempering Monte Carlo algorithms." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1999. http://www.collectionscanada.ca/obj/s4/f2/dsk1/tape9/PQDD_0006/NQ43460.pdf.

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17

Stephen, Alexander. "Enhancement of thermionic cooling using Monte Carlo simulation." Thesis, University of Aberdeen, 2014. http://digitool.abdn.ac.uk:80/webclient/DeliveryManager?pid=210113.

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Advances in the field of semiconductor physics have allowed for rapid development of new, more powerful devices. The new fabrication techniques allow for reductions in device geometry, increasing the possible wafer packing density. The increased output power comes with the price of excessive heat generation, the removal of which proves problematic at such scales for conventional cooling systems. Consequently, there is a rising demand for new cooling systems, preferably those that do not add large amount of additional bulk to the system. One promising system is the thermoelectric (TE) cooler wh

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18

Winzar, Hume. "A Monte-Carlo evaluation of conjoint preference simulators." Thesis, The University of Sydney, 1994. https://hdl.handle.net/2123/27562.

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The purpose of conjoint preference simulators is to translate predicted evaluations in a conjoint analysis study into likelihood of choice (or, more correctly, likelihood of preference). The ease of use of commercially available conjoint software and rating scale techniques could mask some fundamental, and usually flawed, assumptions applications make about evaluation and choice processes. As a result, some researchers could make some costly incorrect decisions based on the results of their conjoint studies.

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19

Mansour, Nabil S. "Inclusion of electron-plasmon interactions in ensemble Monte Carlo simulations of degerate GaAs." Diss., Georgia Institute of Technology, 1994. http://hdl.handle.net/1853/13862.

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20

Loriato, Leandro Amato. "Convertible bond pricing: a Monte Carlo approach." reponame:Repositório Institucional do BNDES, 2014. https://web.bndes.gov.br/bib/jspui/handle/1408/7001.

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Convertible Bonds are interesting hybrid instruments with debt- and equity-like features that have received increasing attention for the last years, especially after the sub-prime mortgage crisis in 2008. This work aims at presenting the main concept behind those instruments, its related features and pricing issues, exhibiting in a constructive manner, from simple products to complex ones, how one may model and price them. To deal with the possibility of American exercises, we implement least-squared and hedged Monte Carlo pricing methods. A clear, flexible, extensible and ready-to-use code im

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21

Tse, Wai Tak. "Monte Carlo study on the growth of magnetic ions /." View abstract or full-text, 2007. http://library.ust.hk/cgi/db/thesis.pl?PHYS%202007%20TSE.

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22

Hong, Hee Sun. "Digital nets and sequences for quasi-Monte Carlo methods." HKBU Institutional Repository, 2002. http://repository.hkbu.edu.hk/etd_ra/334.

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23

Anderson, Eric C. "Monte Carlo methods for inference in population genetic models /." Thesis, Connect to this title online; UW restricted, 2001. http://hdl.handle.net/1773/6368.

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24

Mudelsee, Manfred. "Long memory and the aggregation of AR(1) processes." Universitätsbibliothek Leipzig, 2017. http://nbn-resolving.de/urn:nbn:de:bsz:15-qucosa-222017.

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Granger (1980) found that the aggregation of m short-memory AR(1) processes yields a long-memory process. Thereby he assumed m -> ∞, Gaussian shape and betadistributed AR(1) parameters over (0; 1). To test hypotheses that long memory in climate time series comes from aggregation, the finding of Granger (1980) cannot be directly applied. First, the number of \"microclimatic\" processes to be aggregated is finite. Second, climatic processes often produce right-skewed data. Third, the AR(1) parameters of the microclimatic processes could be restricted to a narrower interval than (0; 1). We the

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25

黃柄榕 and Ping-yung Wong. "Molecular clusters on surfaces: a Monte Carlostudy." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1999. http://hub.hku.hk/bib/B31221956.

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26

Darling, Brian. "A finite element geometry method for Monte Carlo transport calculations." Thesis, Imperial College London, 1988. http://hdl.handle.net/10044/1/47016.

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27

Farmer, Joseph A. "Development of a Quasi-Monte Carlo Method for Thermal Radiation." Thesis, Marquette University, 2019. http://pqdtopen.proquest.com/#viewpdf?dispub=13858322.

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<p> Radiative heat transfer in participating media is among the most challenging computational engineering problems due to the complex nonlinear, nonlocal nature of radiation transport. Many approximate methods have been developed in order to resolve radiative heat transfer in participating media; but approximate methods, by the nature of their approximations, suffer from various shortcomings both in terms of accuracy and robustness. The only methods that can resolve radiative transfer accurately in all configurations are the statistical Monte Carlo-based methods. While the Monte Carlo (MC) me

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28

Carraro, Carlo Koonin Steven E. "A path integral Monte Carlo method for the quasielastic response /." Diss., Pasadena, Calif. : California Institute of Technology, 1990. http://resolver.caltech.edu/CaltechETD:etd-06072007-080221.

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29

VIEIRA, WILSON J. "A General study of undersampling problems in Monte Carlo calculations." reponame:Repositório Institucional do IPEN, 1989. http://repositorio.ipen.br:8080/xmlui/handle/123456789/10258.

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Made available in DSpace on 2014-10-09T12:36:37Z (GMT). No. of bitstreams: 0<br>Made available in DSpace on 2014-10-09T13:59:11Z (GMT). No. of bitstreams: 1 03975.pdf: 1920852 bytes, checksum: 4a74905dfb7a4bb657984043110cfa4f (MD5)<br>Tese (Doutoramento)<br>IPEN/T<br>University of Tennessee, Knoxville, USA

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30

Rumbe, George Otieno. "Performance evaluation of second price auction using Monte Carlo simulation." Diss., Online access via UMI:, 2007.

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31

Belova, Irina V., Graeme E. Murch, Thomas Fiedler, and Andreas Öchsner. "The lattice Monte Carlo method for solving phenomenological mass and heat transport problems: The lattice Monte Carlo method for solving phenomenological mass andheat transport problems." Diffusion fundamentals 4 (2007) 15, S. 1-23, 2007. https://ul.qucosa.de/id/qucosa%3A14288.

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In this review paper, we introduce the recently developed Lattice Monte Carlo method for addressing and solving phenomenologically-based mass and heat transport problems especially for composite and porous materials. We describe in detail the application of this method to calculate effective mass diffusivities and to determine concentration profiles. Next, we describe in detail the application of this method to the calculation of effective thermal conductivities/thermal diffusivities and the determination of temperature profiles. Where possible, results of the method are compared with exact r

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32

Woo, Sungkwon. "Monte Carlo simulation of labor performance during overtime and its impact on project duration /." Digital version accessible at:, 1999. http://wwwlib.umi.com/cr/utexas/main.

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33

Matos, Norman A. Lopez. "Monte Carlo modeling of direct X-ray imaging systems /." Online version of thesis, 2008. http://hdl.handle.net/1850/5745.

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34

鄒鳳嬌 and Fung-kiu Chow. "Quantum statistical mechanics: a Monte Carlo study of clusters." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2000. http://hub.hku.hk/bib/B31224258.

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35

Chow, Fung-kiu. "Quantum statistical mechanics a Monte Carlo study of clusters /." Hong Kong : University of Hong Kong, 2000. http://sunzi.lib.hku.hk/hkuto/record.jsp?B22424799.

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36

Blanckenberg, J. P. (Jacobus Petrus). "Monte Carlo simulation of direction sensitive antineutrino detection." Thesis, Stellenbosch : University of Stellenbosch, 2010. http://hdl.handle.net/10019.1/2885.

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Thesis (MSc (Physics))--University of Stellenbosch, 2010.<br>ENGLISH ABSTRACT: Neutrino and antineutrino detection is a fairly new eld of experimental physics, mostly due to the small interaction cross section of these particles. Most of the detectors in use today are huge detectors consisting of kilotons of scintilator material and large arrays of photomultiplier tubes. Direction sensitive antineutrino detection has however, not been done (at the time of writing of this thesis). In order to establish the feasibility of direction sensitive antineutrino detection, a Monte Carlo code, DS

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37

Ozgur, Soner. "Reduced Complexity Sequential Monte Carlo Algorithms for Blind Receivers." Diss., Georgia Institute of Technology, 2006. http://hdl.handle.net/1853/10518.

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Monte Carlo algorithms can be used to estimate the state of a system given relative observations. In this dissertation, these algorithms are applied to physical layer communications system models to estimate channel state information, to obtain soft information about transmitted symbols or multiple access interference, or to obtain estimates of all of these by joint estimation. Initially, we develop and analyze a multiple access technique utilizing mutually orthogonal complementary sets (MOCS) of sequences. These codes deliberately introduce inter-chip interference, which is naturally eliminat

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38

Creal, Drew D. "Essays in sequential Monte Carlo methods for economics and finance /." Thesis, Connect to this title online; UW restricted, 2007. http://hdl.handle.net/1773/7444.

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39

Nobaza, Linda. "Efficient Monte Carlo methods for pricing of electricity derivatives." Thesis, University of the Western Cape, 2012. http://hdl.handle.net/11394/4634.

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>Magister Scientiae - MSc<br>We discuss efficient Monte Carlo methods for pricing of electricity derivatives. Electricity derivatives are risk management tools used in deregulated electricity markets. In the past,research in electricity derivatives has been dedicated in the modelling of the behaviour of electricity spot prices. Some researchers have used the geometric Brownian motion and the Black Scholes formula to offer a closed-form solution. Electricity spot prices however have unique characteristics such as mean-reverting, non-storability and spikes that render the use of geometric Browni

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40

Arouna, Bouhari. "Méthodes de Monté Carlo et algorithmes stochastiques." Marne-la-vallée, ENPC, 2004. https://pastel.archives-ouvertes.fr/pastel-00001269.

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41

Gregory, Victor Paul. "Monte Carlo computer simulation of sub-critical Lennard-Jones particles." Thesis, This resource online, 1991. http://scholar.lib.vt.edu/theses/available/etd-11242009-020125/.

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42

Dubreus, Terrance Maurice. "Monte Carlo simulations for small-world stochastic processes." Diss., Mississippi State : Mississippi State University, 2005. http://library.msstate.edu/content/templates/?a=72.

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43

Li, Xin. "Monte Carlo methods in calculating value at risk." Thesis, University of Macau, 2010. http://umaclib3.umac.mo/record=b2148276.

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44

Satterfield, Megan E. "Application of a heterogeneous coarse-mesh transport method (COMET) to radiation therapy problems." Thesis, Available online, Georgia Institute of Technology, 2006, 2006. http://etd.gatech.edu/theses/available/etd-11192006-213749/.

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45

"Monte Carlo simulation in risk estimation." 2013. http://library.cuhk.edu.hk/record=b5549771.

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本论文主要研究两类风险估计问题：一类是美式期权价格关于模型参数的敏感性估计，另一类是投资组合的风险估计。针对这两类问题，我们相应地提出了高效的蒙特卡洛模拟方法。这构成了本文的两个主要部分。<br>第二章是本文的第一部分。在这章中，我们将美式期权的敏感性估计问题提成了更具一般性的估计问题：如果一个随机最优化问题依赖于某些模型参数，我们该如何估计其最优目标函数关于参数的敏感性。在该问题中，由于最优决策关于模型参数可能不连续，传统的无穷小扰动分析方法不能直接应用。针对这个困难，我们提出了一种广义的无穷小扰动分析方法，得到敏感性的无偏估计。我们的方法显示, 在估计敏感性时，其实并不需要样本路径关于参数的可微性。这是我们在理论上的新发现。另一方面，该方法可以非常容易的应用于美式期权的敏感性估计。在实际应用中敏感性的无偏估计可以直接嵌入流行的美式期权定价算法，从而同时得到期权价格和价格关于模型参数的敏感性。包括高维问题和多种不同的随机过程模型在内的数值实验，均显示该估计在计算上具有显著的优越性。最后，我们还从理论上刻画了美式期权的近似最优执行策略对敏感性估计的影响，给出了误差上界。<br>第三章是本文的第二部分。在本章中，我们研究投资组合的风险估计问题。该问题也可被推广成一个一般性的估计问题：如何估计条件期望在作用上一个非线性泛函之后的期望。针对该类估计问题，我们提出了一种多层模

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46

"Monte Carlo integration." Chinese University of Hong Kong, 1993. http://library.cuhk.edu.hk/record=b5895772.

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by Sze Tsz-leung.<br>Thesis (M.Phil.)--Chinese University of Hong Kong, 1993.<br>Includes bibliographical references (leaves 91).<br>Chapter Chapter 1 --- Introduction<br>Chapter 1.1 --- Basic concepts of Monte Carlo integration --- p.1<br>Chapter 1.1.1 --- Importance sampling --- p.4<br>Chapter 1.1.2 --- Control variate --- p.5<br>Chapter 1.1.3 --- Antithetic variate --- p.6<br>Chapter 1.1.4 --- Stratified sampling --- p.7<br>Chapter 1.1.5 --- Biased Estimator --- p.10<br>Chapter 1.2 --- Some special methods in Monte Carlo integration --- p.11<br>Chapter 1.2.1 --- Haber´ةs modified Mon

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47

"Monte Carlo Method for financial derivatives valuation." Thesis, 2002. http://library.cuhk.edu.hk/record=b6073934.

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As for the Monte Carlo Method, we first introduce a brief history of the method and pricing options by using the method. Secondly, the basic idea of using the method in computing option price is described. Thirdly, pricing vanilla options is introduced. Fourthly, we discuss some techniques of improving computing accuracy. They include antithetic variables, control variate methods and importance sampling.<br>Fifth, we study in detail pricing option problems by using the Monte Carlo method. Then we present a new method on pricing American option, by which, the required memory in computation can

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48

Aggarwal, Vikram Srinivasan Ashok. "Improving Monte Carlo linear solvers through better iterative processes." 2004. http://etd.lib.fsu.edu/theses/etd-07132004-065555.

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Thesis (M.S.)--Florida State University, 2004.<br>Advisor: Dr. Ashok Srinivasan, Florida State University, College of Arts and Sciences, Dept. of Computer Science. Title and description from dissertation home page (viewed Oct. 27, 2004). Includes bibliographical references.

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49

Kuen-Chang, Tsai. "Pricing Exotic Options with the Monte Carlo Method." 2006. http://www.cetd.com.tw/ec/thesisdetail.aspx?etdun=U0009-1207200615292400.

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50

"Pricing American-style options by Monte Carlo method." 2002. http://library.cuhk.edu.hk/record=b5891097.

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by Wong Chi Yan.<br>Thesis (M.Phil.)--Chinese University of Hong Kong, 2002.<br>Includes bibliographical references (leaves 38-39).<br>Abstracts in English and Chinese.<br>Chapter 1 --- Introduction --- p.1<br>Chapter 1.1 --- Introduction --- p.1<br>Chapter 1.2 --- Monte Carlo Method --- p.2<br>Chapter 1.3 --- Outline of Thesis --- p.5<br>Chapter 2 --- The Random Number Generators --- p.7<br>Chapter 2.1 --- Built-in Random Number Generating Functions --- p.7<br>Chapter 2.2 --- Linear Congruential Generators --- p.8<br>Chapter 3 --- Memory Reduction Methods --- p.10<br>Chapter 3.1 --- T

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