Fourier Analysis of Correlated Monte Carlo Importance Sampling

International audienceFourier analysis is gaining popularity in image synthesis, as a tool for the analysis of error in Monte Carlo (MC) integration. Still, existing tools are only able to analyze convergence under simplifying assumptions (such as randomized shifts) which are not applied in practice during rendering. We reformulate the expressions for bias and variance of sampling-based integrators to unify non-uniform sample distributions (importance sampling) as well as correlations between samples while respecting finite sampling domains. Our unified formulation hints at fundamental limitations of Fourier-based tools in performing variance analysis for MC integration. This non-trivial exercise also provides exciting insight into the effects of importance sampling on the convergence rate of estimators because of the introduction or removal of discontinuities. Specifically, we demonstrate that the convergence of multiple importance sampling (MIS) is determined by the strategy that converges slowest. We propose two simple and practical approaches to limit the impact of discontinuities on the convergence rate of estimators: The first one involves mirroring the integrand to cancel out the effect of boundary discontinuities. This is followed by two novel mirror sampling techniques for MC estimation in this mirrored domain. The second approach improves direct illumination light sampling by smoothing out discontinuities within the domain at the cost of introducing a small amount of bias. Our approaches are simple, practical and can be easily incorporated in production renderers

Analysis of Sample Correlations for Monte Carlo Rendering

Modern physically based rendering techniques critically depend on approximating integrals of high dimensional functions representing radiant light energy. Monte Carlo based integrators are the choice for complex scenes and effects. These integrators work by sampling the integrand at sample point locations. The distribution of these sample points determines convergence rates and noise in the final renderings. The characteristics of such distributions can be uniquely represented in terms of correlations of sampling point locations. Hence, it is essential to study these correlations to understand and adapt sample distributions for low error in integral approximation. In this work, we aim at providing a comprehensive and accessible overview of the techniques developed over the last decades to analyze such correlations, relate them to error in integrators, and understand when and how to use existing sampling algorithms for effective rendering workflows.publishe

Confidence limits of evolutionary synthesis models. IV Moving forward to a probabilistic formulation

Synthesis models predict the integrated properties of stellar populations. Several problems exist in this field, mostly related to the fact that integrated properties are distributed. To date, this aspect has been either ignored (as in standard synthesis models, which are inherently deterministic) or interpreted phenomenologically (as in Monte Carlo simulations, which describe distributed properties rather than explain them). We approach population synthesis as a problem in probability theory, in which stellar luminosities are random variables extracted from the stellar luminosity distribution function (sLDF). We derive the population LDF (pLDF) for clusters of any size from the sLDF, obtaining the scale relations that link the sLDF to the pLDF. We recover the predictions of standard synthesis models, which are shown to compute the mean of the sLDF. We provide diagnostic diagrams and a simplified recipe for testing the statistical richness of observed clusters, thereby assessing whether standard synthesis models can be safely used or a statistical treatment is mandatory. We also recover the predictions of Monte Carlo simulations, with the additional bonus of being able to interpret them in mathematical and physical terms. We give examples of problems that can be addressed through our probabilistic formalism. Though still under development, ours is a powerful approach to population synthesis. In an era of resolved observations and pipelined analyses of large surveys, this paper is offered as a signpost in the field of stellar populations.Comment: Accepted by A&A. Substantially modified with respect to the 1st draft. 26 pages, 14 fig

The History of the Quantitative Methods in Finance Conference Series. 1992-2007

This report charts the history of the Quantitative Methods in Finance (QMF) conference from its beginning in 1993 to the 15th conference in 2007. It lists alphabetically the 1037 speakers who presented at all 15 conferences and the titles of their papers.

Maximum Likelihood Estimation of Stochastic Volatility Models

We develop and implement a new method for maximum likelihood estimation in closed-form of stochastic volatility models. Using Monte Carlo simulations, we compare a full likelihood procedure, where an option price is inverted into the unobservable volatility state, to an approximate likelihood procedure where the volatility state is replaced by the implied volatility of a short dated at-the-money option. We find that the approximation results in a negligible loss of accuracy. We apply this method to market prices of index options for several stochastic volatility models, and compare the characteristics of the estimated models. The evidence for a general CEV model, which nests both the affine model of Heston (1993) and a GARCH model, suggests that the elasticity of variance of volatility lies between that assumed by the two nested models.

Functional Regression

Functional data analysis (FDA) involves the analysis of data whose ideal units of observation are functions defined on some continuous domain, and the observed data consist of a sample of functions taken from some population, sampled on a discrete grid. Ramsay and Silverman's 1997 textbook sparked the development of this field, which has accelerated in the past 10 years to become one of the fastest growing areas of statistics, fueled by the growing number of applications yielding this type of data. One unique characteristic of FDA is the need to combine information both across and within functions, which Ramsay and Silverman called replication and regularization, respectively. This article will focus on functional regression, the area of FDA that has received the most attention in applications and methodological development. First will be an introduction to basis functions, key building blocks for regularization in functional regression methods, followed by an overview of functional regression methods, split into three types: [1] functional predictor regression (scalar-on-function), [2] functional response regression (function-on-scalar) and [3] function-on-function regression. For each, the role of replication and regularization will be discussed and the methodological development described in a roughly chronological manner, at times deviating from the historical timeline to group together similar methods. The primary focus is on modeling and methodology, highlighting the modeling structures that have been developed and the various regularization approaches employed. At the end is a brief discussion describing potential areas of future development in this field

VI Workshop on Computational Data Analysis and Numerical Methods: Book of Abstracts

The VI Workshop on Computational Data Analysis and Numerical Methods (WCDANM) is going to be held on June 27-29, 2019, in the Department of Mathematics of the University of Beira Interior (UBI), Covilhã, Portugal and it is a unique opportunity to disseminate scientific research related to the areas of Mathematics in general, with particular relevance to the areas of Computational Data Analysis and Numerical Methods in theoretical and/or practical field, using new techniques, giving especial emphasis to applications in Medicine, Biology, Biotechnology, Engineering, Industry, Environmental Sciences, Finance, Insurance, Management and Administration. The meeting will provide a forum for discussion and debate of ideas with interest to the scientific community in general. With this meeting new scientific collaborations among colleagues, namely new collaborations in Masters and PhD projects are expected. The event is open to the entire scientific community (with or without communication/poster)