Handbook of Monte Carlo methods:
Gespeichert in:
| Hauptverfasser: | , , |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Hoboken, New Jersey
Wiley
[2011]
|
| Schriftenreihe: | Wiley series in probability and statistics
|
| Schlagworte: | |
| Online-Zugang: | FRO01 TUM01 UBG01 UBM01 UBR01 UBY01 Volltext |
| Beschreibung: | "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. 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." (Verlagsinformation) Enthält Literaturangaben und Index |
| Beschreibung: | 1 Online-Ressource Illustrationen, Diagramme |
| ISBN: | 9781118014967 1118014960 9781118014943 1118014944 |
Internformat
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| 650 | 4 | |a Monte Carlo method / Handbooks, manuals, etc | |
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Datensatz im Suchindex
| _version_ | 1804175970740994048 |
|---|---|
| any_adam_object | |
| author | Kroese, Dirk P. 1963- Taimre, Thomas 1983- Botev, Zdravko I. 1982- |
| author_GND | (DE-588)137690320 (DE-588)1013624416 (DE-588)1011448882 |
| author_facet | Kroese, Dirk P. 1963- Taimre, Thomas 1983- Botev, Zdravko I. 1982- |
| author_role | aut aut aut |
| author_sort | Kroese, Dirk P. 1963- |
| author_variant | d p k dp dpk t t tt z i b zi zib |
| building | Verbundindex |
| bvnumber | BV043393335 |
| classification_rvk | QH 239 SK 820 |
| collection | ZDB-35-WIC |
| ctrlnum | (ZDB-35-WIC)ocn743404801 (OCoLC)743404801 (DE-599)BVBBV043393335 |
| dewey-full | 518/.282 |
| dewey-hundreds | 500 - Natural sciences and mathematics |
| dewey-ones | 518 - Numerical analysis |
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| dewey-tens | 510 - Mathematics |
| discipline | Mathematik Wirtschaftswissenschaften |
| format | Electronic eBook |
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| id | DE-604.BV043393335 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T07:24:45Z |
| institution | BVB |
| isbn | 9781118014967 1118014960 9781118014943 1118014944 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-028811919 |
| oclc_num | 743404801 |
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| publishDate | 2011 |
| publishDateSearch | 2011 |
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| publisher | Wiley |
| record_format | marc |
| series2 | Wiley series in probability and statistics |
| spelling | Kroese, Dirk P. 1963- Verfasser (DE-588)137690320 aut Handbook of Monte Carlo methods Dirk P. Kroese ; Thomas Taimre ; Zdravko I. Botev Hoboken, New Jersey Wiley [2011] © 2011 1 Online-Ressource Illustrationen, Diagramme txt rdacontent c rdamedia cr rdacarrier Wiley series in probability and statistics "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. 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." (Verlagsinformation) Enthält Literaturangaben und Index Electronic resource Handbooks and manuals fast MATHEMATICS / Probability & Statistics / General bisacsh MATHEMATICS / Numerical Analysis bisacsh Monte Carlo method fast Monte Carlo method / Handbooks, manuals, etc Lehrbuch (DE-588)4123623-3 gnd rswk-swf MATLAB (DE-588)4329066-8 gnd rswk-swf Optimierung (DE-588)4043664-0 gnd rswk-swf Monte-Carlo-Simulation (DE-588)4240945-7 gnd rswk-swf Monte-Carlo-Simulation (DE-588)4240945-7 s DE-604 Optimierung (DE-588)4043664-0 s MATLAB (DE-588)4329066-8 s Lehrbuch (DE-588)4123623-3 s Taimre, Thomas 1983- Verfasser (DE-588)1013624416 aut Botev, Zdravko I. 1982- Verfasser (DE-588)1011448882 aut Erscheint auch als Druck-Ausgabe, Hardcover 978-0-470-17793-8 0-470-17793-4 https://onlinelibrary.wiley.com/doi/book/10.1002/9781118014967 Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Kroese, Dirk P. 1963- Taimre, Thomas 1983- Botev, Zdravko I. 1982- Handbook of Monte Carlo methods Electronic resource Handbooks and manuals fast MATHEMATICS / Probability & Statistics / General bisacsh MATHEMATICS / Numerical Analysis bisacsh Monte Carlo method fast Monte Carlo method / Handbooks, manuals, etc Lehrbuch (DE-588)4123623-3 gnd MATLAB (DE-588)4329066-8 gnd Optimierung (DE-588)4043664-0 gnd Monte-Carlo-Simulation (DE-588)4240945-7 gnd |
| subject_GND | (DE-588)4123623-3 (DE-588)4329066-8 (DE-588)4043664-0 (DE-588)4240945-7 |
| title | Handbook of Monte Carlo methods |
| title_auth | Handbook of Monte Carlo methods |
| title_exact_search | Handbook of Monte Carlo methods |
| title_full | Handbook of Monte Carlo methods Dirk P. Kroese ; Thomas Taimre ; Zdravko I. Botev |
| title_fullStr | Handbook of Monte Carlo methods Dirk P. Kroese ; Thomas Taimre ; Zdravko I. Botev |
| title_full_unstemmed | Handbook of Monte Carlo methods Dirk P. Kroese ; Thomas Taimre ; Zdravko I. Botev |
| title_short | Handbook of Monte Carlo methods |
| title_sort | handbook of monte carlo methods |
| topic | Electronic resource Handbooks and manuals fast MATHEMATICS / Probability & Statistics / General bisacsh MATHEMATICS / Numerical Analysis bisacsh Monte Carlo method fast Monte Carlo method / Handbooks, manuals, etc Lehrbuch (DE-588)4123623-3 gnd MATLAB (DE-588)4329066-8 gnd Optimierung (DE-588)4043664-0 gnd Monte-Carlo-Simulation (DE-588)4240945-7 gnd |
| topic_facet | Electronic resource Handbooks and manuals MATHEMATICS / Probability & Statistics / General MATHEMATICS / Numerical Analysis Monte Carlo method Monte Carlo method / Handbooks, manuals, etc Lehrbuch MATLAB Optimierung Monte-Carlo-Simulation |
| url | https://onlinelibrary.wiley.com/doi/book/10.1002/9781118014967 |
| work_keys_str_mv | AT kroesedirkp handbookofmontecarlomethods AT taimrethomas handbookofmontecarlomethods AT botevzdravkoi handbookofmontecarlomethods |