| Project/Area Number |
13558046
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| Research Category |
Grant-in-Aid for Scientific Research (B)
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| Allocation Type | Single-year Grants |
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| Section | 展開研究 |
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| Research Field |
社会システム工学
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| Research Institution | University of Tsukuba |
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Principal Investigator |
FUJI-HARA Ryoh University of Tsukuba, Graduate School of System and Information Engineering, Professor, 大学院・システム情報工学研究科, 教授 (30165443)
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| Co-Investigator(Kenkyū-buntansha) |
MIAO Ying University of Tsukuba, Graduate School of System and Information Engineering, Assistent Professor, 大学院・システム情報工学研究科, 講師 (10302382)
KISHIMOTO Kazuo University of Tsukuba, Graduate School of System and Information Engineering, Professor, 大学院・システム情報工学研究科, 教授 (90136127)
JIMBO Masakazu Nagoya University, Graduate School of Information Science, Professor, 大学院・情報科学研究科, 教授 (50103049)
KURIKI Shinji Osaka Provincial University, Graduate School of Engineering, Associate Professor, 大学院・工学研究科, 助教授 (00167389)
TEZUKA Shu IBM, Basic Research Institute, Researcher, 研究員
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| Project Period (FY) |
2001 – 2004
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| Project Status |
Completed (Fiscal Year 2004)
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| Budget Amount *help |
¥9,300,000 (Direct Cost: ¥9,300,000)
Fiscal Year 2004: ¥2,500,000 (Direct Cost: ¥2,500,000)
Fiscal Year 2003: ¥2,000,000 (Direct Cost: ¥2,000,000)
Fiscal Year 2002: ¥2,000,000 (Direct Cost: ¥2,000,000)
Fiscal Year 2001: ¥2,800,000 (Direct Cost: ¥2,800,000)
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| Keywords | Low Descrepancy sequence / (T,M,S)-net / (T,S)-sequence / Teta-configuration / derandomization / i-binomial property / digital net / Difference set / i-binominal property / nested design / オプション価格 / 準モンテカルロ法 / (T,M,S)-net / 有限射影幾何 / Theta-Configureation / (t,s)-sequence / 高次元積分 / スクランブル法 |
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| Research Abstract |
When we compute a price of option derivative in financial engineering, an integration over very high dimension is required. We usually use Monte Carlo method for such computation problems with ordinal pseudo random numbers. It is known that a kind of balanced point set is better than random numbers with respect to precisions, called (t,m,s)-nets or (t,s)-sequences.
We have studied to construct and analyze such point sets. When the strength t=3, 4, we proved a (t,m,s)-net is equivalent to a configuration, called Theta-configuration, in a finite projective space. Also we proved that a (3,m,s)-net is equivalent to an orthogonal array.
There are sequences called Hickrnel sequences which are proposed recently. We define the sequences using polynomials over a finite field and proved it is a (t, s)-sequence.
The most uniformly distributed sequences are (0,s)-sequences in (t,s)-sequences. We used to choose parameters randomly. We found a method to choose good parameters. This method is called"De-randomization". Also we proposed an approach using i-binomial property. We analyzed properties of de-randomizations.
We studied and improved an ordinal pseudo random number generator, called Mersenne twister, which have very long period. And also we studied many basic combinatorial problems which may have a relation to constructions of (t,m,s)-nets or (t,s)-sequences
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