Browsing Mathematics (Faculty of) by Supervisor "Lemieux, Christiane"
Now showing items 1-4 of 4
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Constructions and applications of quasi-random point sets with negative dependence
(University of Waterloo, 2022-08-17)Randomized Quasi-Monte Carlo (RQMC) methods are used as an alternative to the Monte Carlo (MC) method when performing numeric integration by replacing the random point set of MC with a randomized low-discrepancy sequence ... -
Importance Sampling and Stratification Techniques for Multivariate Models with Low-Dimentional Structures
(University of Waterloo, 2017-12-22)Many problems in finance and risk management involve the computation of quantities related to rare-event analysis. As many financial problems are high-dimensional, the quan- tities of interest rarely have analytical forms ... -
Optimization of Policy Evaluation and Policy Improvement Methods in Portfolio Optimization using Quasi-Monte Carlo Methods
(University of Waterloo, 2024-05-24)Machine learning involves many challenging integrals that can be estimated using numerical methods. One application of these methods which has been explored in recent work is the estimation of policy gradients for ... -
Randomized quasi-Monte Carlo methods with applications to quantitative risk management
(University of Waterloo, 2022-05-03)We use randomized quasi-Monte Carlo (RQMC) techniques to construct computational tools for working with normal mixture models, which include automatic integration routines for density and distribution function evaluation, ...