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Handbook of Monte Carlo methods / Dirk P. Kroese, Thomas Taimre, Zdravko I. Botev.
- Format:
- Book
- Author/Creator:
- Kroese, Dirk P.
- Series:
- Wiley series in probability and statistics ; 706.
- Wiley series in probability and statistics ; 706
- Language:
- English
- Subjects (All):
- Monte Carlo method.
- Physical Description:
- 1 online resource (752 p.)
- Edition:
- 1
- Place of Publication:
- Wiley 2011
- Language Note:
- English
- Summary:
- "The purpose of this handbook is to provide an accessible and comprehensive compendium of Monte Carlo techniques and related topics. It contains a mix of theory (summarized), algorithms (pseudo and actual), and applications. Since the audience is broad, the theory is kept to a minimum, this without sacrificing rigor. The book is intended to be used as an essential guide to Monte Carlo methods to quickly look up ideas, procedures, formulas, pictures, etc., rather than purely a monograph for researchers or a textbook for students. As the popularity of these methods continues to grow, and new methods are developed in rapid succession, the staggering number of related techniques, ideas, concepts and algorithms makes it difficult to maintain an overall picture of the Monte Carlo approach. This book attempts to encapsulate the emerging dynamics of this field of study"-- Provided by publisher.
- Contents:
- CHAPTER 1: Uniform Random Number Generation CHAPTER 2: Quasirandom Number Generation CHAPTER 3: Random Variable Generation CHAPTER 4: Probability Distributions CHAPTER 5: Random Process Generation CHAPTER 6: Markov Chain Monte Carlo CHAPTER 7: Discrete Event Simulation CHAPTER 8: Statistical Analysis of Simulation Data CHAPTER 9: Variance Reduction CHAPTER 10: Rare-Event Simulation CHAPTER 11: Estimation of Derivatives CHAPTER 12: Randomized Optimization CHAPTER 13: Cross-Entropy Method CHAPTER 14: Particle Methods CHAPTER 15: Applications to Finance CHAPTER 16: Applications to Network Reliability CHAPTER 17: Applications to Differential Equations Acronyms and Abbreviations List of Symbols List of Distributions
- Notes:
- Bibliographic Level Mode of Issuance: Monograph
- Includes bibliographical references and index.
- ISBN:
- 9786613072429
- 9781283072427
- 1283072424
- 9781118014950
- 1118014952
- 9781118014967
- 1118014960
- 9781118014943
- 1118014944
- OCLC:
- 743404801
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