Søren Asmussen,
Peter W. Glynn
Stochastic Simulation: Algorithms and Analysis
Paperback Engels 2010 9781441921468
Verwachte levertijd ongeveer 9 werkdagen
Samenvatting
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.
Specificaties
ISBN13:9781441921468
Taal:Engels
Bindwijze:paperback
Aantal pagina's:476
Uitgever:Springer New York
Druk:0
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Inhoudsopgave
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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