This article discusses the general problem of generating representative point sets from a distribution known up to a multiplicative constant. The sampling/importance resampling (SIR) algorithm is known to be useful in this context. Moreover, the quasi-random sampling/importance resampling (QSIR)...

The standard domain for quasi-Monte Carlo approximations is the unit cube. Recently, much research has been done to make quasi-Monte Carlo methods applicable to the real space. Mathé and Wei proposed an algorithm that splits Rd into cubes. One of the difficulties with their approach is that the...

In this paper, we show that the Sobol’ and Richtmyer sequences can be effectively used for numerical integration of functions having up to 1000 variables. The results of integration obtained with the two sequences are compared and the parameters C and α from the convergence model C/Nα are...

Hospitals worldwide have implemented High Frequency (HF) Radio Frequency Identification (RFID) networks for supplies tracking in ER setting, in-patient identification, surgical instrument management, and other applications. Merging of Web, Near Filed Communication (NFC), and HF RFID technologies...

The computations of likelihood or posterior distribution of parameters of complex population genetics models are common tasks in computational biology. The numerical results of these approaches are often found by Monte Carlo simulations. Much of the recent work of Monte Carlo approaches to...

We consider the integral of a function and its approximation by a quadrature rule of the form i.e. by a rule which uses the values of both and its derivative at nodes of the quadrature rule. We examine the cases when the integrand is either a smooth function or an dependent function of the form...

We develop a conditional sampling scheme for pricing knock-out barrier options under the Linear Transformations (LT) algorithm from Imai and Tan (2006). We compare our new method to an existing conditional Monte Carlo scheme from Glasserman and Staum (2001), and show that a substantial variance...

We propose a quasi-Monte Carlo algorithm for pricing knock-out and knock-in barrier options under the Heston (1993) stochastic volatility model. This is done by modifying the LT method from Imai and Tan (2006) for the Heston model such that the first uniform variable does not influence the...