Stochastic Simulation: Algorithms and Analysis (häftad)
Format
Häftad (Paperback / softback)
Språk
Engelska
Antal sidor
476
Utgivningsdatum
2010-11-19
Upplaga
Softcover reprint of hardcover 1st ed. 2007
Förlag
Springer-Verlag New York Inc.
Medarbetare
Glynn, Peter W.
Illustrationer
XIV, 476 p.
Dimensioner
234 x 156 x 25 mm
Vikt
681 g
Antal komponenter
1
Komponenter
1 Paperback / softback
ISBN
9781441921468
Stochastic Simulation: Algorithms and Analysis (häftad)

Stochastic Simulation: Algorithms and Analysis

Häftad Engelska, 2010-11-19
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Sampling-based computational methods have become a fundamental part of the numerical toolset of practitioners and researchers across an enormous number of different applied domains and academic disciplines. This book provides a broad treatment of such sampling-based methods, as well as accompanying mathematical analysis of the convergence properties of the methods discussed. The reach of the ideas is illustrated by discussing a wide range of applications and the models that have found wide usage. The first half of the book focuses on general methods; the second half discusses model-specific algorithms. Exercises and illustrations are included.
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De som köpt den här boken har ofta också köpt Monte Carlo and Quasi-Monte Carlo Methods av Art B Owen, Peter W Glynn (häftad).

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From the reviews: "The adequate statistical simulation of random quantities is one of the challenges of this century. Therefore, sampling-based computational methods have become a fundamental part of the numerical toolset of both practitioners and researchers ... . This book provides a descriptive treatment of a variety of such sampling-based methods. Some steps to the mathematical analysis of their convergence properties and diverse applications are sketched as well. ... this book is of potential interest to many researchers, students and instructors." (Henri Schurz, Zentralblatt MATH, Vol. 1126 (3), 2008) "This is a very interesting book for all who are interested in stochastic simulations. ... the book is designed as a potential teaching and learning tool for use in a wide variety of courses. ... it is a book that should be on the bookshelf of everybody who is seriously interested in stochastic simulations." (EMS Newsletter, September, 2008) "The present book provides a broad treatment of sampling-based computational methods, as well as accompanying mathematical analysis of the convergence properties of these methods for a wide range of stochastic application problems. ... A set of exercises ... is also given at the end of each chapter. This book will be a reference of great value for researchers in probability, statistics, operations research, economics, finance, and engineering ... . It would also be perfect as a textbook for graduate seminars or courses in stochastic simulation." (Mou-Hsiung Chang, Siam Review, Vol. 51 (1), 2009) "This book is intended to provide a broad treatment of the basic ideas and algorithms associated with sampling-based methods, often referred to as Monte Carlo algorithms or stochastic simulation. ... the book will be very useful to students and researchers from a wide range of disciplines." (John P. Lehoczky, Mathematical Reviews, Issue 2009 c) "Stochastic Simulation, written by two prominent researchers in applied probability, is an outgrowth of that maturation. The authors' goal is not to tell the reader everything known about simulation, nor is it to give a collection of recipes, but rather to provide insight into analyzing problems via simulation. ... The book would make an excellent text for a graduate course in simulation, especially in a mathematical sciences department." (Peter C. Kiessler, Journal of the American Statistical Association, Vol. 104 (486), June, 2009)

Innehållsförteckning

General Methods and Algorithms.- Generating Random Objects.- Output Analysis.- Steady-State Simulation.- Variance-Reduction Methods.- Rare-Event Simulation.- Derivative Estimation.- Stochastic Optimization.- Algorithms for Special Models.- Numerical Integration.- Stochastic Di3erential Equations.- Gaussian Processes.- Levy Processes.- Markov Chain Monte Carlo Methods.- Selected Topics and Extended Examples.- What This Book Is About.- What This Book Is About.