Simulation and the Monte Carlo Method / Edition 2
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Simulation and the Monte Carlo Method / Edition 2

by Reuven Y. Rubinstein, Dirk P. Kroese, Zdravko I. Botev, Thomas Taimre
     
 

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ISBN-10: 0470177942

ISBN-13: 9780470177945

Pub. Date: 12/04/2007

Publisher: Wiley

This accessible new edition explores the major topics in Monte Carlo simulation

Simulation and the Monte Carlo Method, Second Edition reflects the latest developments in the field and presents a fully updated and comprehensive account of the major topics that have emerged in Monte Carlo simulation since the publication of the classic First

Overview

This accessible new edition explores the major topics in Monte Carlo simulation

Simulation and the Monte Carlo Method, Second Edition reflects the latest developments in the field and presents a fully updated and comprehensive account of the major topics that have emerged in Monte Carlo simulation since the publication of the classic First Edition over twenty-five years ago. While maintaining its accessible and intuitive approach, this revised edition features a wealth of up-to-date information that facilitates a deeper understanding of problem solving across a wide array of subject areas, such as engineering, statistics, computer science, mathematics, and the physical and life sciences.

The book begins with a modernized introduction that addresses the basic concepts of probability, Markov processes, and convex optimization. Subsequent chapters discuss the dramatic changes that have occurred in the field of the Monte Carlo method, with coverage of many modern topics including:

  • Markov Chain Monte Carlo
  • Variance reduction techniques such as the transform likelihood ratio method and the screening method
  • The score function method for sensitivity analysis
  • The stochastic approximation method and the stochastic counter-part method for Monte Carlo optimization
  • The cross-entropy method to rare events estimation and combinatorial optimization
  • Application of Monte Carlo techniques for counting problems, with an emphasis on the parametric minimum cross-entropy method

An extensive range of exercises is provided at the end of each chapter, with more difficult sections and exercises marked accordingly for advanced readers. A generous sampling of applied examples is positioned throughout the book, emphasizing various areas of application, and a detailed appendix presents an introduction to exponential families, a discussion of the computational complexity of stochastic programming problems, and sample MATLAB programs.

Requiring only a basic, introductory knowledge of probability and statistics, Simulation and the Monte Carlo Method, Second Edition is an excellent text for upper-undergraduate and beginning graduate courses in simulation and Monte Carlo techniques. The book also serves as a valuable reference for professionals who would like to achieve a more formal understanding of the Monte Carlo method.

Product Details

ISBN-13:
9780470177945
Publisher:
Wiley
Publication date:
12/04/2007
Series:
Wiley Series in Probability and Statistics Series, #707
Edition description:
New Edition
Pages:
372
Product dimensions:
6.50(w) x 9.37(h) x 0.89(d)

Table of Contents

Preface     vii
Acknowledgments     ix
Problems     1
Preliminaries     1
Random Number, Random Variable, and Stochastic Process Generation     9
Simulation of Discrete-Event Systems     15
Statistical Analysis of Discrete-Event Systems     19
Controlling the Variance     25
Markov Chain Monte Carlo     31
Sensitivity Analysis and Monte Carlo Optimization     37
The Cross-Entropy Method     41
Counting via Monte Carlo     47
Appendix     51
Solutions     53
Preliminaries     55
Random Number, Random Variable, and Stochastic Process Generation     69
Simulation of Discrete-Event Systems     85
Statistical Analysis of Discrete-Event Systems     95
Controlling the Variance     105
Markov Chain Monte Carlo     123
Sensitivity Analysis and Monte Carlo Optimization     145
The Cross-Entropy Method     151
Counting via Monte Carlo     177
Appendix     187

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