quasi-monte-carlo

There are 1 repository under quasi-monte-carlo topic.

nchopin / particles
Sequential Monte Carlo in python
bayesian-inference kalman-filter particle-filter pmcmc quasi-monte-carlo sequential-monte-carlo smc2
Language:Python 382
SamplinSafari
wkjarosz / SamplinSafari
Samplin' Safari is a research tool to visualize and interactively inspect high-dimensional (quasi) Monte Carlo samplers.
monte-carlo-sampling orthogonal-arrays quasi-monte-carlo sampling monte-carlo monte-carlo-ray-tracing integration numerical-integration computer-graphics graphics-rendering qmc mc
Language:C++ 152
SciML / QuasiMonteCarlo.jl
Lightweight and easy generation of quasi-Monte Carlo sequences with a ton of different methods on one API for easy parameter exploration in scientific machine learning (SciML)
julia parameter-estimation physics-informed-learning quasi-monte-carlo scientific-machine-learning sciml
Language:Julia 99
JuliaMath / Sobol.jl
generation of Sobol low-discrepancy sequence (LDS) for the Julia language
sobol-sequence math julia monte-carlo low-discrepancy-sequence quasi-monte-carlo
Language:Julia 76
QMCSoftware / QMCSoftware
quasi-monte-carlo mathematics python monte-carlo stopping-criterion
Language:Python 55
tubanlee / REDS_Nonasymptotic
Robust estimations from distribution structures: III. Non-asymptotic
finite-sample finite-sample-bias monte-carlo monte-carlo-methods monte-carlo-sampling monte-carlo-simulation montecarlo montecarlo-simulation pseudo-random pseudo-random-generator pseudorandom pseudorandom-number-generator quasi-monte-carlo uniform-distribution
Language:R 31
PharmCat / MvNormalCDF.jl
Quasi-Monte-Carlo numerical computation of multivariate normal probabilities
multivariate-probabilities julia statistics quasi-monte-carlo mvnormal probability-distribution
Language:Julia 25
jointpoints / tms-nets
(t, m, s)-nets generator / Генератор (t, m, s)-сетей
quasi-random-generator quasi-monte-carlo low-dispersion-sequences harald-niederreiter tms-nets ts-sequences low-discrepancy-sequences discrepancy niederreiter sobol
Language:C++ 8
boennecd / pedmod
R package with quasi-Monte Carlo methods to estimate mixed models commonly used for random effect structures from pedigrees.
generalized-linear-mixed-models graph-partitioning importance-sampling mixed-models pedigree probit quasi-monte-carlo threshold-model
Language:HTML 5
KRM7 / quasi-random
A simple quasi-random number generator implemented in C++ for generating low discrepancy sequences in any number of dimensions.
quasi-random-generator qrng low-discrepancy-sequence quasi-monte-carlo random-number-generators cpp20
Language:C++ 4
Tristan-Amadei / Multilevel_MonteCarlo
The aim of this project is to compare different pricing methods for an Asian option. Comparisons will be made in terms of MSE, CPU time and (empirical) variance of estimators.
brownian-bridge brownian-motion monte-carlo monte-carlo-methods monte-carlo-simulation multilevel-monte-carlo option-pricing quasi-monte-carlo
Language:Jupyter Notebook 3
alegresor / FastGaussianProcesses.jl
Fast construction of Gaussian Process Regression models supporting gradient information.
fast-construction gaussian-processes low-discrepancy-sequence quasi-monte-carlo derivative-informed
Language:Julia 2
B0ryskart0n / LowDiscrepancySequences
fsharp low-discrepancy-sequence monte-carlo quasi-monte-carlo
Language:F# 2
johannnamr / MSc-Project-Code
This repository contains the source code for my MSc Project on "Scalable Inference for Generative Models using Quasi-Monte Carlo" at the Department of Statistical Science, UCL.
generative-model inference quasi-monte-carlo
Language:Jupyter Notebook 2
dmetivie / RandomizedQuasiMonteCarlo.jl
Some randomization methods for Randomized Quasi Monte Carlo e.g. scrambling, shift
monte-carlo quasi-monte-carlo scrambling julia julia-language
Language:Julia 1
dmetivie / Robust-Randomized-Quasi-Monte-Carlo-paper-code
Code of the paper The Robust Randomized Quasi Monte Carlo method, applications to integrating singular functions by E. Gobet M. Lerasle and D. Métivier
julia paper-with-code pluto-notebooks quasi-monte-carlo robust-statistics scrambling distributed-computing sge slurm
Language:HTML 1
mandugo / Monte-Carlo-methods
Final assessment for "Monte Carlo methods and sampling for computing course" within the PhD program in Information Engineering of the Department of Information Engineering @ University of Pisa, A.A. 2022/2023
denoising image-denoising image-processing monte-carlo monte-carlo-methods quasi-monte-carlo sar-images
1
rcolomina / quasi_monte_carlo_stock_options
MonteCarlo and Quasi-MonteCarlo methods for the valuations of spread and lookback finantial options.
european-options montecarlo-simulation quasi-monte-carlo stock-options-calculator
Language:MATLAB 1