407 search results - page 31 / 82 » Monte Carlo simulation approach to stochastic programming |
170
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FS
2011
14 years 9 months ago
2011
Abstract We derive an explicit representation of the transitions of the Heston stochastic volatility model and use it for fast and accurate simulation of the model. Of particular i...
172
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DAC
1996
ACM
15 years 10 months ago
1996
ACM
Abstract A divide-and-conquer algorithm for computing the parametric yield of large analog circuits is presented. The algorithm targets applications whose performance spreads could...
150
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ICS
1998
Tsinghua U.
15 years 10 months ago
1998
Tsinghua U.
Parallel computers are now commonly used for computational science and engineering, and many applications in these areas use random number generators. For some applications, such ...
153
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VLSID
2002
IEEE
16 years 6 months ago
2002
IEEE
This paper presents a new method to compute the probability distribution of the delay of a combinational circuit and uses it obtain an estimate of the yield of the process that ma...
272
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TOMACS
2011
15 years 1 months ago
2011
We consider the problem of the exact simulation of random variables Z that satisfy the distributional identity Z L = V Y + (1 − V )Z, where V ∈ [0, 1] and Y are independent, an...