Lectures on Monte Carlo methods:
Saved in:
| Main Author: | |
|---|---|
| Format: | Thesis Book |
| Language: | English |
| Published: |
Providence, Rhode Island
American Mathematical Society
[2002]
|
| Series: | Fields Institute for Research in Mathematical Sciences <Toronto>: Fields Institute monographs
16 |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | viii, 103 Seiten Diagramme |
| ISBN: | 0821829785 9780821829783 |
Staff View
MARC
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Record in the Search Index
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Contents
Preface vii
Chapter 1. Introduction 1
1.1. What are Monte Carlo Methods? 1
1.2. Review of Basic Probability and Statistics Terminology 5
Chapter 2. Generating Random Numbers 11
2.1. The General Problem 11
2.2. Pseudo Random Number Generators 13
2.3. Generating Random Variates with Non Uniform Distribution 17
Chapter 3. Variance Reduction Techniques 29
3.1. The Basic Problem 29
3.2. Stratified Sampling 30
3.3. Importance Sampling 36
3.4. Common Random Numbers 42
3.5. Control Variates 47
3.6. Antithetic Variates 49
Chapter 4. Markov Chain Monte Carlo 53
4.1. Discrete Markov Chains 53
4.2. Uniform Generation by Markov Chain Monte Carlo 58
4.3. The Metropolis Algorithm 63
4.4. Simulated Annealing 66
4.5. The Gibbs Sampler 69
4.6. The Gibbs Sampler in Bayesian Statistics 73
Chapter 5. Statistical Analysis of Simulation Output 83
5.1. The Case of I.I.D. Output 84
5.2. The Case of Stationary Output 84
5.3. The Case of Asymptotically Stationary Output 90
Chapter 6. The Ising Model and Related Examples 93
6.1. Definitions and Background 93
6.2. Metropolis Algorithm and Gibbs Sampler 95
6.3. Variants of the Ising Model 96
6.4. Image Analysis — A Brief Example 97
6.5. The Swendsen Wang Algorithm 98
Bibliography 101
V |
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| dewey-full | 519.2/82 519.2/8221 |
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| dewey-ones | 519 - Probabilities and applied mathematics |
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| language | English |
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| series2 | Fields Institute for Research in Mathematical Sciences <Toronto>: Fields Institute monographs |
| spelling | Madras, Neal Noah 1957- Verfasser (DE-588)124221831 aut Lectures on Monte Carlo methods Neal Madras Providence, Rhode Island American Mathematical Society [2002] © 2002 viii, 103 Seiten Diagramme txt rdacontent n rdamedia nc rdacarrier Fields Institute for Research in Mathematical Sciences <Toronto>: Fields Institute monographs 16 Aus dem Vorwort: "This book is based on a graduate course that I gave at the Fields Institute for Research in Mathematical Sciences in Fall 1998, as part of the thematic year on probability and its applications." Monte Carlo-methode gtt Monte-Carlo, Méthode de Monte Carlo method Monte-Carlo-Simulation (DE-588)4240945-7 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Monte-Carlo-Simulation (DE-588)4240945-7 s DE-604 Erscheint auch als Online-Ausgabe 978-1-4704-3143-3 Fields Institute for Research in Mathematical Sciences <Toronto>: Fields Institute monographs 16 (DE-604)BV009737926 16 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010036225&sequence=000004&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Madras, Neal Noah 1957- Lectures on Monte Carlo methods Fields Institute for Research in Mathematical Sciences <Toronto>: Fields Institute monographs Monte Carlo-methode gtt Monte-Carlo, Méthode de Monte Carlo method Monte-Carlo-Simulation (DE-588)4240945-7 gnd |
| subject_GND | (DE-588)4240945-7 (DE-588)4113937-9 |
| title | Lectures on Monte Carlo methods |
| title_auth | Lectures on Monte Carlo methods |
| title_exact_search | Lectures on Monte Carlo methods |
| title_full | Lectures on Monte Carlo methods Neal Madras |
| title_fullStr | Lectures on Monte Carlo methods Neal Madras |
| title_full_unstemmed | Lectures on Monte Carlo methods Neal Madras |
| title_short | Lectures on Monte Carlo methods |
| title_sort | lectures on monte carlo methods |
| topic | Monte Carlo-methode gtt Monte-Carlo, Méthode de Monte Carlo method Monte-Carlo-Simulation (DE-588)4240945-7 gnd |
| topic_facet | Monte Carlo-methode Monte-Carlo, Méthode de Monte Carlo method Monte-Carlo-Simulation Hochschulschrift |
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