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Viser: Stochastic Simulation - Algorithms and Analysis
Stochastic Simulation
Algorithms and Analysis
Søren Asmussen og Peter W. Glynn
(2007)
Sprog: Engelsk
Springer New York
698,00 kr.
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Detaljer om varen
- 1. Udgave
- Hardback: 476 sider
- Udgiver: Springer New York (Juli 2007)
- Forfattere: Søren Asmussen og Peter W. Glynn
- ISBN: 9780387306797
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.
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.- Lèvy Processes.- Markov Chain Monte Carlo Methods.- Selected Topics and Extended Examples.- What This Book Is About.- What This Book Is About.
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