Conditional Monte Carlo Trajectory Calculation of Elementary Gas Reaction Rates

Conditional Monte Carlo Estimation of Quantile Sensitivities

E quantile sensitivities is important in many optimization applications, from hedging in financial engineering to service-level constraints in inventory control to more general chance constraints in stochastic programming. Recently, Hong (Hong, L. J. 2009. Estimating quantile sensitivities. Oper. Res. 57 118–130) derived a batched infinitesimal perturbation analysis estimator for quantile sensi...

A lemma on conditional Monte Carlo

Parametric Conditional Monte Carlo Density Estimation

In applied density estimation problems, one often has data not only on the target variable, but also on a collection of covariates. In this paper, we study a density estimator that incorporates this additional information by combining parametric estimation and conditional Monte Carlo. We prove an approximate functional asymptotic normality result that illustrates convergence rates and the asymp...

Direct Lighting Calculation by Monte Carlo Integration

The details of doing a Monte Carlo direct lighting calculation are presented. For direct lighting from multiple luminaires, a method of sending one shadow ray per viewing ray is presented, and it is argued that this is preferable for scenes with many luminaires. Some issues of the design of probability densities on unions of luminaire surfaces are discussed.

Monte Carlo Renormalization Group Calculation in Λφ

We start by discussing some theoretical issues of renormalization group transformations and Monte Carlo renormalization group technique. A method to compute the anomalous dimension is proposed and investigated. As an application, we find excellent values for critical exponents in λφ43. Some technical questions regarding the hybrid algorithm and strong coupling expansions, used to compute the cr...