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Page 7702 of Mathematical Reviews Vol. , Issue 2002J [page]

2002 Mathematical Reviews  
The rule for adjusting the Monte Carlo sample size is introduced to ensure this convergence and to find the solution of the SP problem using a reasonable number of Monte Carlo trials.  ...  Summary: “Methods for solving stochastic programming (SP) problems by a finite series of Monte Carlo samples are considered.  ... 

A note on monte carlo primality tests and algorithmic information theory

Gregory J. Chaitin, Jacob T. Schwartz
1978 Communications on Pure and Applied Mathematics  
Solovay and Strassen, and Miller and Rabin have discovered fast algorithms for testing primality which use coin-flipping and whose con- G. J. Chaitin clusions are only probably correct.  ...  algorithmic information content, i.e., has maximal algorithmic randomness, then one obtains an error-free test for primality.  ...  Quick Monte Carlo algorithms for primality suggest another possibility. Perhaps adding axioms of the form "s is random" makes it possible to obtain shorter proofs of primality?  ... 
doi:10.1002/cpa.3160310407 fatcat:t3x7apejobbxhgvihvx6neeraa

A NOTE ON MONTE CARLO PRIMALITY TESTS AND ALGORITHMIC INFORMATION THEORY [chapter]

GREGORY J. CHAITIN, JACOB T. SCHWARTZ
1987 Information, Randomness & Incompleteness  
Solovay and Strassen, and Miller and Rabin have discovered fast algorithms for testing primality which use coin-flipping and whose con- G. J. Chaitin clusions are only probably correct.  ...  algorithmic information content, i.e., has maximal algorithmic randomness, then one obtains an error-free test for primality.  ...  Quick Monte Carlo algorithms for primality suggest another possibility. Perhaps adding axioms of the form "s is random" makes it possible to obtain shorter proofs of primality?  ... 
doi:10.1142/9789814434058_0016 fatcat:apf7bbkpcbbsngzm4dytoskfla

Provably good and practically efficient algorithms for CMP dummy fill

Chunyang Feng, Hai Zhou, Changhao Yan, Jun Tao, Xuan Zeng
2009 Proceedings of the 46th Annual Design Automation Conference on ZZZ - DAC '09  
Furthermore, based on the approximation algorithm, we also propose a new greedy iterative algorithm to achieve high quality solutions more efficiently than previous Monte-Carlo based heuristic methods.  ...  It is based on a fully polynomial time approximation scheme by Fleischer [4] for covering LP problems.  ...  TABLE I COMPARISON I OF OUR GREEDY METHOD WITH MONTE-CARLO APPROACH Monte-Carlo Greedy Test case (n/w/r) MaxDens MinDens #Dummy Time(s) MaxDens MinDens #Dummy Time(s) 800/200/4 0.5000 0.4434 951186  ... 
doi:10.1145/1629911.1630052 dblp:conf/dac/FengZYTZ09 fatcat:xko7uaaqz5hfpk2pl7uhlt2pqq

Dual control Monte Carlo method for tight bounds of value function under Heston stochastic volatility model [article]

Jingtang Ma, Wenyuan Li, Harry Zheng
2017 arXiv   pre-print
In this paper we propose an efficient dual control Monte Carlo method for computing tight lower and upper bounds of the value function.  ...  We identify a particular form of the dual control which leads to the closed form upper bound for a class of utility functions, including power, non-HARA and Yarri utilities.  ...  For general utilities, we propose a Monte Carlo method to compute the lower and upper bounds for the primal value function.  ... 
arXiv:1710.10487v1 fatcat:4syer75t4fft7nuc5xam7tt3z4

Dual control Monte-Carlo method for tight bounds of value function in regime switching utility maximization

Jingtang Ma, Wenyuan Li, Harry Zheng
2017 European Journal of Operational Research  
We suggest a Monte-Carlo algorithm for computing the tight lower and upper bounds and show the method is effective with a variety of utility functions, including power, non-HARA and Yaari utilities.  ...  In this paper we study the dual control approach for the optimal asset allocation problem in a continuous-time regime-switching market.  ...  We suggest a Monte-Carlo algorithm for computing these tight lower and upper bounds and show the method is reliable and accurate with a number of numerical tests for power, non-HARA and Yaari utility functions  ... 
doi:10.1016/j.ejor.2017.04.056 fatcat:r6g2qd2vcfharn5dt2ykj3u6sm

A Semidefinite Relaxation Method for Elliptical Location

Xin Wang, Ying Ding, Le Yang
2020 Electronics  
for elliptical location.  ...  The difficulties arising from implementing a maximum likelihood estimator for elliptical location come from the nonconvexity of the negative log-likelihood functions.  ...  Algorithm 1 1 Primal-dual path-following interior-point method.1: procedure PD-PF-IP( Z 0 , S 0 , y 0 , Figure 2 . 2 Location geometry for Monte Carlo experiments.  ... 
doi:10.3390/electronics9010128 fatcat:lzjp2472zbe55aktlohez6qw7m

Page 5966 of Mathematical Reviews Vol. , Issue 2001H [page]

2001 Mathematical Reviews  
The paper discusses Monte Carlo simulation based approxima- tions of stochastic programming problems.  ...  In this paper the authors study the convergence rate of the nested partitions method through the use of Markov chain Monte Carlo methods.  ... 

Book Review: Proceedings of the Third International Conference on Spectral and High Order Methods

Lars B. Wahlbin, Joseph D. Ward, Lars B. Wahlbin, S. S. Wagstaff Jr.
1998 Mathematics of Computation  
An algorithm in class RP is called a Monte Carlo algorithm.  ...  Primality tests described here include converses to Fermat's theorem, special tests for Fermat and Mersenne numbers, probabilistic prime tests, fast tests which are valid if the Extended Riemann Hypothesis  ... 
doi:10.1090/s0025-5718-98-01012-6 fatcat:vbunfu3m65h2fiihv3aj26kldm

Monte Carlo Methods for the Ferromagnetic Potts Model Using Factor Graph Duality [article]

Mehdi Molkaraie, Vicenc Gomez
2018 arXiv   pre-print
Normal factor graph duality offers new possibilities for Monte Carlo algorithms in graphical models.  ...  Specifically, we consider the problem of estimating the partition function of the ferromagnetic Ising and Potts models by Monte Carlo methods, which are known to work well at high temperatures, but to  ...  The first author thanks these institutions for hospitality and support.  ... 
arXiv:1506.07044v4 fatcat:frz3gwzvwnbwpmpg6rvevyi6wy

Global Sensitivity Analysis of Biochemical Reaction Networks via Semidefinite Programming [article]

Steffen Waldherr and Rolf Findeisen and Frank Allgöwer
2009 arXiv   pre-print
We apply our algorithm to the sensitivity analysis of a Goldbeter--Koshland enzymatic cycle, which is a frequent motif in reaction networks for regulation of metabolism and signal transduction.  ...  Using a relaxed version of the corresponding feasibility problem and its Lagrangian dual, we show how to compute certificates for regions in state space not containing any steady states.  ...  The Monte-Carlo tests done to produce the figures took consistently about 20 % more computation time, where 1000 parameter points were used for each test.  ... 
arXiv:0904.4592v1 fatcat:odpl7o6oxbbrzl5kbj5jaf466e

Monte Carlo Methods for the Ferromagnetic Potts Model Using Factor Graph Duality

Mehdi Molkaraie, Vicenc Gomez
2018 IEEE Transactions on Information Theory  
Normal factor graph duality offers new possibilities for Monte Carlo algorithms in graphical models.  ...  Specifically, we consider the problem of estimating the partition function of the ferromagnetic Ising and Potts models by Monte Carlo methods, which are known to work well at high temperatures, but to  ...  The first author thanks these institutions for hospitality and support.  ... 
doi:10.1109/tit.2018.2857565 fatcat:iglrt57st5at3fha5aux62b64e

Stochastic Finite Integration Technique Formulation for Electrokinetics

Lorenzo Codecasa, Luca Di Rienzo
2014 IEEE transactions on magnetics  
It is applied to a test case representing an industrial application and the obtained results are in good agreement with those calculated by means of Monte Carlo simulations, with the advantage of a dramatic  ...  A stochastic finite integration technique formulation of an electrokinetic problem is derived applying the polynomial chaos expansion.  ...  More specifically, in order to test the formulation, a typical system for resistance welding is analyzed [4] . II.  ... 
doi:10.1109/tmag.2013.2280522 fatcat:ymbjxtygfbfxngoi2djrsw7jo4

Global Sensitivity Analysis of Biochemical Reaction Networks via Semidefinite Programming

Steffen Waldherr, Rolf Findeisen, Frank Allgöwer
2008 IFAC Proceedings Volumes  
We apply our algorithm to the sensitivity analysis of a Goldbeter-Koshland enzymatic cycle, which is a frequent motif in reaction networks for regulation of metabolism and signal transduction.  ...  Using a relaxed version of the corresponding feasibility problem and its Lagrangian dual, we show how to compute certificates for regions in state space not containing any steady states.  ...  The Monte-Carlo tests done to produce the figures took consistently about 20 % more computation time, where 1000 parameter points were used for each test.  ... 
doi:10.3182/20080706-5-kr-1001.01641 fatcat:p237eaqlqvcc5oekapu4fx3jke

Page 3082 of Mathematical Reviews Vol. , Issue 90E [page]

1990 Mathematical Reviews  
Monte Carlo optimization. J. Optim. Theory Appl. 60 (1989), no. 1, 149-157. The Monte Carlo optimization technique as defined by W. C.  ...  Moreover, these invexity conditions may be used to establish that an x- component is a Kuhn-Tucker point simply by verifying that it is a feasible point for the primal program. W. F.  ... 
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