Stochastic Simulation: Algorithms and Analysis
Algorithms and Analysis
(Sprache: Englisch)
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...
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Klappentext zu „Stochastic Simulation: Algorithms and Analysis “
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.
Inhaltsverzeichnis zu „Stochastic Simulation: Algorithms and Analysis “
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.
Bibliographische Angaben
- Autoren: Søren Asmussen , Peter W. Glynn
- 2007, 476 Seiten, Maße: 15,9 x 24,1 cm, Gebunden, Englisch
- Verlag: Springer, New York
- ISBN-10: 038730679X
- ISBN-13: 9780387306797
Sprache:
Englisch
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