Handbook of Monte Carlo Methods

Handbook of Monte Carlo Methods provides the theory, algorithms, and applications that helps provide a thorough understanding of the emerging dynamics of this rapidly-growing field.

Handbook of Monte Carlo Methods

Handbook of Monte Carlo Methods

A comprehensive overview of Monte Carlo simulation that explores the latest topics, techniques, and real-world applications More and more of today’s numerical problems found in engineering and finance are solved through Monte Carlo methods. The heightened popularity of these methods and their continuing development makes it important for researchers to have a comprehensive understanding of the Monte Carlo approach. Handbook of Monte Carlo Methods provides the theory, algorithms, and applications that helps provide a thorough understanding of the emerging dynamics of this rapidly-growing field. The authors begin with a discussion of fundamentals such as how to generate random numbers on a computer. Subsequent chapters discuss key Monte Carlo topics and methods, including: Random variable and stochastic process generation Markov chain Monte Carlo, featuring key algorithms such as the Metropolis-Hastings method, the Gibbs sampler, and hit-and-run Discrete-event simulation Techniques for the statistical analysis of simulation data including the delta method, steady-state estimation, and kernel density estimation Variance reduction, including importance sampling, latin hypercube sampling, and conditional Monte Carlo Estimation of derivatives and sensitivity analysis Advanced topics including cross-entropy, rare events, kernel density estimation, quasi Monte Carlo, particle systems, and randomized optimization The presented theoretical concepts are illustrated with worked examples that use MATLAB®, a related Web site houses the MATLAB® code, allowing readers to work hands-on with the material and also features the author's own lecture notes on Monte Carlo methods. Detailed appendices provide background material on probability theory, stochastic processes, and mathematical statistics as well as the key optimization concepts and techniques that are relevant to Monte Carlo simulation. Handbook of Monte Carlo Methods is an excellent reference for applied statisticians and practitioners working in the fields of engineering and finance who use or would like to learn how to use Monte Carlo in their research. It is also a suitable supplement for courses on Monte Carlo methods and computational statistics at the upper-undergraduate and graduate levels.

More Books:

Handbook of Monte Carlo Methods
Language: en
Pages: 772
Authors: Dirk P. Kroese, Thomas Taimre, Zdravko I. Botev
Categories: Mathematics
Type: BOOK - Published: 2013-06-06 - Publisher: John Wiley & Sons

A comprehensive overview of Monte Carlo simulation that explores the latest topics, techniques, and real-world applications More and more of today’s numerical problems found in engineering and finance are solved through Monte Carlo methods. The heightened popularity of these methods and their continuing development makes it important for researchers to
Handbook in Monte Carlo Simulation
Language: en
Pages: 688
Authors: Paolo Brandimarte
Categories: Business & Economics
Type: BOOK - Published: 2014-06-17 - Publisher: John Wiley & Sons

An accessible treatment of Monte Carlo methods, techniques, and applications in the field of finance and economics Providing readers with an in-depth and comprehensive guide, the Handbook in Monte Carlo Simulation: Applications in Financial Engineering, Risk Management, and Economics presents a timely account of the applicationsof Monte Carlo methods in
Handbook of Markov Chain Monte Carlo
Language: en
Pages: 619
Authors: Steve Brooks, Andrew Gelman, Galin Jones, Xiao-Li Meng
Categories: Mathematics
Type: BOOK - Published: 2011-05-10 - Publisher: CRC Press

Since their popularization in the 1990s, Markov chain Monte Carlo (MCMC) methods have revolutionized statistical computing and have had an especially profound impact on the practice of Bayesian statistics. Furthermore, MCMC methods have enabled the development and use of intricate models in an astonishing array of disciplines as diverse as
Monte Carlo
Language: en
Pages: 698
Authors: George Fishman
Categories: Business & Economics
Type: BOOK - Published: 1996-04-25 - Publisher: Springer Science & Business Media

Apart from a thorough exploration of all the important concepts, this volume includes over 75 algorithms, ready for putting into practice. The book also contains numerous hands-on implementations of selected algorithms to demonstrate applications in realistic settings. Readers are assumed to have a sound understanding of calculus, introductory matrix analysis,
Weapon System Safety Guidelines Handbook
Language: en
Pages:
Authors: United States. Naval Ordnance Systems Command
Categories: Business & Economics
Type: BOOK - Published: - Publisher:

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