Last Week
Next Week
| Current News | Coming Events | Weekly Calendar |
|---|---|---|
|
Last Week |
Next Week
|
Other Bulletins |
Please contact the webmaster with any problems with this page.
Research Board Scholar's Travel Fund November 4, 1996 November 18, 1996 December 2, 1996 December 9, 1996 January 6, 1997 January 27, 1997 February 3, 1997 February 24, 1997 March 3, 1997 March 17, 1997 April 7, 1997 April 7, 1997 June 2, 1997
| 11/02 | Registration for the Spring semester begins | ||||
| 11/22 | Last day for graduate students to drop a semester course | ||||
| 11/28-12/1 | Thanksgiving Holiday - All University offices are closed | ||||
12/13
| Last day of instruction |
12/14 |
Reading Day |
12/16-21 |
Final Exams |
|
Quasi-random sequences are a deterministic alternative to random or pseudo-random sequences. Correlations between the elements of a quasi-random siquence make them more uniform than random numbers, which leads to Monte Carlo. This talk will first describe the basic theory of quasi-random sequences, including the bounds on integration error and methods for generating these sequences. Second, we present results from a set of numerical experiments showing the advantages and limitations of quasi-Monte Carlo in integration and simulation problems. Finally, an application to financial analysis, the evaluation of mortgage-backed securities, will be presented. For this problem, quasi-Monte Carlo computations result in substantial speed-up over standard Monte Carlo.
Russel Caflisch's interests are in fluid dynamics, transport and kinetic theory, partial differential equations, and Monte Carlo methods. He is currently a professor at University of California, Los Angeles, formerly was at the New York University Courant Institute of Mathematical Sciences and at Stanford University, and he has held a Sloan Fellowship.
| Monday | Tuesday | Wednesday | Thursday | Friday |
|---|