Simulation / Sheldon M. Ross.

Format:

Book

Author/Creator:

Ross, Sheldon M.

Series:

Statistical Modeling and Decision Science

Language:

English

Subjects (All):

Random variables.

Probabilities.

Computer simulation.

Physical Description:

1 recurso en línea (313 p.)

Edition:

4th ed.

Place of Publication:

Amsterdam ; Boston : Elsevier Academic Press, c2006.

Language Note:

English

Summary:

Ross's Simulation, Fourth Edition introduces aspiring and practicing actuaries, engineers, computer scientists and others to the practical aspects of constructing computerized simulation studies to analyze and interpret real phenomena. Readers learn to apply results of these analyses to problems in a wide variety of fields to obtain effective, accurate solutions and make predictions about future outcomes. This text explains how a computer can be used to generate random numbers, and how to use these random numbers to generate the behavior of a stochastic model over time. It presents

Contents:

Front Cover; Title Page; Copyright page; Table of Contents; Preface; Overview; New to This Edition; Chapter Descriptions; Thanks; 1. Introduction; Exercises; 2. Elements of Probability; 2.1 Sample Space and Events; 2.2 Axioms of Probability; 2.3 Conditional Probability and Independence; 2.4 Random Variables; 2.5 Expectation; 2.6 Variance; 2.7 Chebyshev's Inequality and the Laws of Large Numbers; 2.8 Some Discrete Random Variables; Binomial Random Variables; Poisson Random Variables; Geometric Random Variables; The Negative Binomial Random Variable; Hypergeometric Random Variables

2.9 Continuous Random Variables Uniformly Distributed Random Variables; Normal Random Variables; Exponential Random Variables; The Poisson Process and Gamma Random Variables; The Nonhomogeneous Poisson Process; 2.10 Conditional Expectation and Conditional Variance; The Conditional Variance Formula; Exercises; References; 3. Random Numbers; Introduction; 3.1 Pseudorandom Number Generation; 3.2 Using Random Numbers to Evaluate Integrals; Exercises; References; 4. Generating Discrete Random Variables; 4.1 The Inverse Transform Method; 4.2 Generating a Poisson Random Variable

4.3 Generating Binomial Random Variables 4.4 The Acceptance-Rejection Technique; 4.5 The Composition Approach; 4.6 Generating Random Vectors; Exercises; 5. Generating Continuous Random Variables; Introduction; 5.1 The Inverse Transform Algorithm; 5.2 The Rejection Method; 5.3 The Polar Method for Generating Normal Random Variables; 5.4 Generating a Poisson Process; 5.5 Generating a Nonhomogeneous Poisson Process; Exercises; References; 6. The Discrete Event Simulation Approach; Introduction; 6.1 Simulation via Discrete Events; 6.2 A Single-Server Queueing System

6.3 A Queueing System with Two Servers in Series 6.4 A Queueing System with Two Parallel Servers; 6.5 An Inventory Model; 6.6 An Insurance Risk Model; 6.7 A Repair Problem; 6.8 Exercising a Stock Option; 6.9 Verification of the Simulation Model; Exercises; References; 7. Statistical Analysis of Simulated Data; Introduction; 7.1 The Sample Mean and Sample Variance; 7.2 Interval Estimates of a Population Mean; 7.3 The Bootstrapping Technique for Estimating Mean Square Errors; Exercises; References; 8. Variance Reduction Techniques; Introduction; 8.1 The Use of Antithetic Variables

8.2 The Use of Control Variates 8.3 Variance Reduction by Conditioning; Estimating the Expected Number of Renewals by Time t; 8.4 Stratified Sampling; 8.5 Applications of Stratified Sampling; Analyzing Systems Having Poisson Arrivals; Computing Multidimensional Integrals of Monotone Functions; Compound Random Vectors; 8.6 Importance Sampling; 8.7 Using Common Random Numbers; 8.8 Evaluating an Exotic Option; 8.9 Estimating Functions of Random Permutations and Random Subsets; Random Permutations; Random Subsets

8.10 Appendix: Verification of Antithetic Variable Approach When Estimating the Expected Value of Monotone Functions

Notes:

Description based upon print version of record.

Includes bibliographical references and index.

ISBN:

9786612540158

9781282540156

1282540157

9780080517223

0080517226

OCLC:

662456957