Monte Carlo and Quasi-Monte Carlo Methods

Part I Invited Articles: C. A. Beschle, A. Barth, Quasi Continuous Level Monte Carlo for Random Elliptic PDEs. - M. B. Giles, MLMC Techniques for Discontinuous Functions. - T. Helin, A. M. Stuart, A. L. Teckentrup, K. C. Zygalakis, Introduction to Gaussian Process Regression in Bayesian Inverse Problems, with new Results on Experimental Design for Weighted Error Measures. - V. Kaarnioja, Frances Y. Kuo, Ian H. Sloan, Lattice-Based Kernel Approximation and Serendipitous Weights for Parametric PDEs in Very High Dimensions. - E. Novak, Optimal Algorithms for Numerical Integration: Recent Results and Open Problems. - Chris. J. Oates, Minimum Kernel Discrepancy Estimators. - Gabriel Stoltz, Error Estimates and Variance Reduction for Nonequilibrium Stochastic Dynamics. - Part II Contributed Articles: F. Bernal, A. Berridi, Heuristics for the Probabilistic Solution of BVPs with Mixed Boundary Conditions. - Sou-Cheng T. Choi, Y. Ding, Fred J. Hickernell, J. Rathinavel, Aleksei G. Sorokin, Challenges in Developing Great Quasi-Monte Carlo Software. - L. Enzi, S. Thonhauser, Numerical Computation of Risk Functionals in PDMP Risk Models. - J. Fiedler, M. Gnewuch, Christian Weiß, New Bounds for the Extreme and the Star Discrepancy of Double-Infinite Matrices. - C. García-Pareja, F. Nobile, Unbiased Likelihood Estimation of Wright-Fisher Diffusion Processes. - Alexander D. Gilbert, Frances Y. Kuo, Ian H. Sloan, A. Srikumar, Theory and Construction of Quasi-Monte Carlo Rules for Asian Option Pricing and Density Estimation. - Philipp A. Guth, V. Kaarnioja, Application of Dimension Truncation Error Analysis to High Dimensional Function Approximation in Uncertainty Quantification. - Rami El Haddad, C. Lécot, Pierre L Ecuyer, Simple Stratified Sampling for Simulating Multi-Dimensional Markov Chains. - K. Harsha, M. Gnewuch, M. Wnuk, Infinite-Variate 2-Approximation with Nested Subspace Sampling. - S. Heinrich, Randomized Complexity of Vector-Valued Approximation. -


A. Keller, C. Wächter, N. Binder, Quasi-Monte Carlo Algorithms (not only) for Graphics Software. - S. Krumscheid, Per Pettersson, Sequential Estimation using Hierarchically Stratified Domains with Latin Hypercube Sampling. - Frances Y. Kuo, Weiwen Mo, D. Nuyens, Ian H. Sloan, A. Srikumar, Comparison of Two Search Criteria for Lattice-based Kernel Approximation. - M. Longo, C. Schwab, A. Stein, A-posteriori QMC-FEM Error Estimation for Bayesian Inversion and Optimal Control with Entropic Risk Measure. - E. Løvbak, F. Blondeel, A. Lee, L. Vanroye, Andreas Van Barel, G. Samaey, Reversible Random Number Generation for Adjoint Monte Carlo Simulation of the Heat Equation. - H. Maatouk, D. Rullière, X. Bay, Large Scale Gaussian Processes with Matheron s Update Rule and Karhunen-Loève Expansion. - A. Mickel, A. Neuenkirch, The Order Barrier for the 1-approximation of the Log-Heston SDE at a Single Point. - D. Nuyens, L. Wilkes, A Randomised Lattice Rule Algorithm with Pre-determined Generating Vector and Random Number of Points for Korobov Spaces with 0 < 1/2. - L. Paulin, D. Coeurjolly, N. Bonneel, Jean-Claude Iehl, V. Ostromoukhov, A. Keller, Generator Matrices by Solving Integer Linear Programs. - K. Ravi, T. Neckel, Hans-Joachim Bungartz, Multi-fidelity No-U-Turn Sampling. - C. Reisinger, M. Olympia Tsianni, Convergence of the Euler Maruyama Particle Scheme for a Regularised McKean Vlasov Equation Arising from the Calibration of Local-stochastic Volatility models. - A. G. Sorokin, J. Rathinavel, On Bounding and Approximating Functions of Multiple Expectations using Quasi-Monte Carlo. - K. Spendier, M. Szölgyenyi, Convergence of the Tamed-Euler Maruyama Method for SDEs with Discontinuous and Polynomially Growing Drift. - Víctor de la Torre, J. Marzo, QMC Strength for some Random Configurations on the Sphere. - P. Vanmechelen, G. Lombaert, G. Samaey, Multilevel MCMC with Level-Dependent Data in a Model Case of Structural Damage Assessment. - M. Wnuk, A Note on Compact Embeddings of Reproducing Kernel Hilbert Spaces in 2 and Infinite-variate Function Approximation.