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Title Type monte carlo methods in financial engineering stochastic modelling and applied probability v 53 PDF stochastic simulation algorithms and analysis stochastic modelling and applied probability no 57 no 100 PDF adaptive algorithms and stochastic approximations stochastic modelling and applied probability PDF discrete-time markov chains two-timescale(More)
Dynamic linear models with time-varying cyclical components are developed for the analysis of times series with persistent though time-varying cyclical behaviour. The development covers inference on wavelengths of possibly several persistent cycles in non-stationary times series, permitting explicit time variation in amplitudes and phases of component(More)
Students will present chapters from the text, as well as additional papers that will be supplied. This seminar will focus on topics related to simulation-based algorithms for Markov decision processes, multi-armed bandit problems, Monte Carlo tree search, with applications including Google DeepMind's AlphaGo. Students will receive either 1 or 2 credits,(More)
GLUE SiB WLEF a b s t r a c t This paper explores the use of Monte Carlo carbon cycle data assimilation within the generalized likelihood uncertainty estimation (GLUE) framework to evaluate the sensitivities of a well-known complex land surface model (SiB v2.5) to its parameterization and the predictive uncertainty of simulated fluxes on a monthly basis,(More)
The aims of Monte Carlo methods are to solve one or both of the following problems. Problem 1: to generate samples fx (r) g R r=1 from a given probability distribution P(x). Problem 2: to estimate expectations of functions under this distribution, for example = h(x)i Z d N x P(x)(x): (11.1) The probability distribution P(x), which we will call the target(More)
Design and testing of investment strategies is greatly facilitated by using computer simulations. Monte Carlo method is often used for mathematical model-ing of processes occurring in the financial markets. This article presents a complex investment strategy based on the simultaneous use of several basic strategies and its alternative using random switching(More)
  • Monte Carlo, Y Y Y Y Y Y Abb Gridview, +8 authors N=no
  • 2003
Executive Summary KEMA Consulting has assessed existing commercial tools in the U.S. market that might be used to help support future DOE assessments of national interest transmission bottlenecks, consistent with recommendations in the DOE National Transmission Grid Study. The tool or tools must be capable of supporting studies of power systems(More)