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Seminario di probabilità: Quasi Monte Carlo methods - Low discrepancy sets and sequences for approximation and integration

Giovedì 18 Giugno 2015, ore 12:00 - Aula 2BC30 - Piero Foscari

ARGOMENTI: Seminari

Seminario di probabilità

Giovedì 18 Giugno 2015 alle ore 12:00 in Aula 2BC30, Piero Foscari terrà un seminario dal titolo "Quasi Monte Carlo methods - Low discrepancy sets and sequences for approximation and integration".

Abstract
This talk reviews a broad class of techniques to distribute points according to a uniform density in high dimensions. This can often be a deterministic alternative to Monte Carlo methods to improve speed of convergence for numerical integration, as well as providing a basis for efficient approximation. Research spans various decades and is seeing renewed interest lately together with new applications. Examples in financial modeling and a comparison to optimal quantization will be presented.