Séance WA3 - Méthodes Monte-Carlo II / Monte-Carlo Methods II
Jour mercredi, le 06 mai 2009 Salle Gérard Parizeau Président Vasile Sinescu
Présentations
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10h30- 10h55 |
Tuning the Parameters of a Two-Level Simulation Procedure with Screening |
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Hai Lan, Northwestern University, IEMS, 2145 Sheridan Rd, IEMS C228, Evanston, IL, USA, 60208 Experimental parameters are important to the effectiveness or even validity of some sophisticated simulation procedures. Optimal experimental parameters tuning method for a two-level simulation with screening is discussed in this paper. A special procedure is introduced to predict the behavior of the two-level simulation based on historical data or a pilot simulation. |
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10h55- 11h20 |
Quasi-Monte Carlo Methods for Numerical Multiple Integration |
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Vasile Sinescu, Université de Montréal, DIRO, CP 6128 succ. centre ville, Montreal, Quebec, Canada, H3C 3J7 High-dimensional integrals occur in a variety of fields and can be approximated by quasi-Monte Carlo methods. Lattice rules belong to the family of QMC methods and may ensure higher convergence rate than Monte Carlo, however with additional challenges. This talk will present results regarding the construction of "good" lattice rules and examples where these methods are useful. |