Simulation and the Monte Carlo Method / Edition 1

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Overview


About the Author:
Dirk P. Kroese University of Queensland Department of Mathematics Brisbane, Australia

About the Author:
Thomas Taimre University of Queensland Department of Mathematics Brisbane, Australia

About the Author:
Zdravko I. Botev University of Queensland Department of Mathematics Brisbane, Australia

About the Author:
Reuven Y. Rubinstein Technion-Israel Institute of Technology Faculty of Industrial Engineering and Management Haifa, Israel

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Editorial Reviews

From the Publisher
"The book is clearly written and easy to read for people with mathematical background.... The material of the book is useful in most areas of the nowadays research work." (International Statistical Review, April 2009)

"I enjoyed reading the book, and found the individual examples quite interesting." (Biometrics, December 2008)

"I enjoyed reading the book, and found the individual examples quite interesting." (Biometrics, December 2008)

"..if you need to learn how to use Monte Carlo in your simulations, this is probably the best single document I have ever read. "(Computing Reviews, September 2008)

"Rubinstein and Kroese did an exemplary job of addressing major issues and providing much needed updated information in this area." (CHOICE, June 2008)

"the book is nicely written and the additional to the book from the 1st edition certainly make it more attractive to a wider audience. I would recommend it to students and practioners with appropriate background." (MAA Review March 2008)

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Product Details

  • ISBN-13: 9780471089179
  • Publisher: Wiley, John & Sons, Incorporated
  • Publication date: 4/28/1981
  • Series: Wiley Series in Probability and Statistics Series , #16
  • Edition description: Older Edition
  • Edition number: 1
  • Pages: 304
  • Product dimensions: 0.81 (w) x 6.00 (h) x 9.00 (d)

Meet the Author

Reuven Y. Rubinstein, DSc, is Professor Emeritus in the Faculty of Industrial Engineering and Management at Technion-Israel Institute of Technology. He has served as a consultant at numerous large-scale organizations, such as IBM, Motorola, and NEC. The author of over 100 articles and six books, Dr. Rubinstein is also the inventor of the popular score-function method in simulation analysis and generic cross-entropy methods for combinatorial optimization and counting.

Dirk P. Kroese, PhD, is Senior Lecturer in Statistics in the Department of Mathematics at The University of Queensland, Australia. He has published over fifty articles in a wide range of areas in applied probability and statistics, including Monte Carlo methods, cross-entropy, randomized algorithms, tele-traffic theory, reliability, computational statistics, applied probability, and stochastic modeling.

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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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