We discuss efficient Monte Carlo (MC) methods for the estimation of convex risk measures within the portfolio credit risk model CreditMetrics. Our focus lies on the Utilitybased ...
Much of the rare-event simulation literature is concerned with the development of asymptotically optimal algorithms. Because of the difficulties associated with applying these id...
In this paper, we present a novel hardware architecture to achieve erosion and dilation with a large structuring element. We are proposing a modification of HGW algorithm with a bl...
Christophe Clienti, Michel Bilodeau, Serge Beucher
In global illumination computations the photon map is a powerful tool for approximating the irradiance, which is stored independent from scene geometry. By presenting a new algori...
This paper discusses the efficiency of various batching methods for estimating performance parameters from steady-state simulation output, e.g., the steadystate mean. Our primary ...