# Handbook of Monte Carlo Methods

## Dirk P. Kroese; Thomas Taimre; Zdravko I. Botev

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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 and also features the author's own lecture notes on Monte Carlo methods. 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.

Handbook of Monte Carlo Methods is an excellent reference for applied statisticians and practitioners working in the fields of engineering and finance who use or would like to learn how to use Monte Carlo in their research. It is also a suitable supplement for courses on Monte Carlo methods and computational statistics at the upper-undergraduate and graduate levels.

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Dirk P. Kroese, PhD, is Australian Professorial Fellow in Statistics at The University of Queensland (Australia). Dr. Kroese has more than seventy publications in such areas as stochastic modeling, randomized algorithms, computational statistics, and reliability. He is a pioneer of the cross-entropy method and the coauthor of Simulation and the Monte Carlo Method, Second Edition (Wiley).

Thomas Taimre, PhD, is a Postdoctoral Research Fellow at The University of Queensland. He currently focuses his research on Monte Carlo methods and simulation, from the theoretical foundations to performing computer implementations.

Zdravko I. Botev, PhD, is a Postdoctoral Research Fellow at the University of Montreal  (Canada). His research interests include the splitting method for rare-event simulation and kernel density estimation. He is the author of one of the most widely used free MATLAB® statistical software programs for nonparametric kernel density estimation.

Review:

“Statisticians Kroese, Thomas Taimre (both U. of Queensland), and Zdravko I. Botev (U. of Montreal)

methods, which are statistical methods that involve random experiments on a computer. There are a

great many such methods being used for so many kinds of problems in so many fields that such an

overall view is hard to find. Combining theory, algorithms, and applications, they consider such topics

as uniform random number generation, probability distributions, discrete event simulation, variance

reduction, estimating derivatives, and applications to network reliability.” (Annotation ©2011 Book News

Inc. Portland, OR)

"Sobre este título" puede pertenecer a otra edición de este libro.

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## 1.Handbook of Monte Carlo Methods

Editorial: Wiley (2011)
ISBN 10: 0470177934 ISBN 13: 9780470177938
Nuevos Tapa dura Primera edición Cantidad: 1
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Irish Booksellers
(Rumford, ME, Estados Unidos de America)
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Descripción Wiley, 2011. Hardcover. Estado de conservación: New. book. Nº de ref. de la librería 0470177934

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## 2.Handbook of Monte Carlo Methods Format: Cloth

Editorial: John Wiley and Sons
ISBN 10: 0470177934 ISBN 13: 9780470177938
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INDOO
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Descripción John Wiley and Sons. Estado de conservación: New. Brand New. Nº de ref. de la librería 0470177934

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## 3.Handbook of Monte Carlo Methods

ISBN 10: 0470177934 ISBN 13: 9780470177938
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Descripción Estado de conservación: New. Brand New. US Edition Book. We do not ship to Military Addresses. Fast Shipping with Order Tracking. For Standard Shipping 7-8 business days & Expedite Shipping 4-6 business days, after shipping. Nº de ref. de la librería 0470177934-RMX

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## 4.Handbook of Monte Carlo Methods (Wiley Series in Probability and Statistics)

Editorial: Wiley (2011)
ISBN 10: 0470177934 ISBN 13: 9780470177938
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Ergodebooks
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Descripción Wiley, 2011. Hardcover. Estado de conservación: New. 1. Nº de ref. de la librería DADAX0470177934

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## 5.Handbook of Monte Carlo Methods (Hardback)

Editorial: John Wiley and Sons Ltd, United States (2011)
ISBN 10: 0470177934 ISBN 13: 9780470177938
Nuevos Tapa dura Primera edición Cantidad: 10
Librería
The Book Depository US
(London, Reino Unido)
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Descripción John Wiley and Sons Ltd, United States, 2011. Hardback. Estado de conservación: New. 1. Auflage. Language: English . Brand New Book. 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(R), a related Web site houses the MATLAB(R) code, allowing readers to work hands-on with the material and also features the author s own lecture notes on Monte Carlo methods. 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. Handbook of Monte Carlo Methods is an excellent reference for applied statisticians and practitioners working in the fields of engineering and finance who use or would like to learn how to use Monte Carlo in their research. It is also a suitable supplement for courses on Monte Carlo methods and computational statistics at the upper-undergraduate and graduate levels. Nº de ref. de la librería BZV9780470177938

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## 6.Handbook of Monte Carlo Methods (Hardback)

Editorial: John Wiley and Sons Ltd, United States (2011)
ISBN 10: 0470177934 ISBN 13: 9780470177938
Nuevos Tapa dura Primera edición Cantidad: 10
Librería
Book Depository hard to find
(London, Reino Unido)
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Descripción John Wiley and Sons Ltd, United States, 2011. Hardback. Estado de conservación: New. 1. Auflage. Language: English . This book usually ship within 10-15 business days and we will endeavor to dispatch orders quicker than this where possible. Brand New Book. 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(R), a related Web site houses the MATLAB(R) code, allowing readers to work hands-on with the material and also features the author s own lecture notes on Monte Carlo methods. 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. Handbook of Monte Carlo Methods is an excellent reference for applied statisticians and practitioners working in the fields of engineering and finance who use or would like to learn how to use Monte Carlo in their research. It is also a suitable supplement for courses on Monte Carlo methods and computational statistics at the upper-undergraduate and graduate levels. Nº de ref. de la librería BZV9780470177938

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## 7.Handbook of Monte Carlo Methods

Editorial: Wiley (2011)
ISBN 10: 0470177934 ISBN 13: 9780470177938
Librería
Murray Media
(North Miami Beach, FL, Estados Unidos de America)
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Descripción Wiley, 2011. Hardcover. Estado de conservación: New. Nº de ref. de la librería P110470177934

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## 8.Handbook of Monte Carlo Methods: Handbook for Monte Carlo Methods

Editorial: John Wiley & Sons Inc (2011)
ISBN 10: 0470177934 ISBN 13: 9780470177938
Librería
Revaluation Books
(Exeter, Reino Unido)
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Descripción John Wiley & Sons Inc, 2011. Hardcover. Estado de conservación: Brand New. 1st edition. 772 pages. 10.25x7.25x1.75 inches. In Stock. Nº de ref. de la librería 0470177934

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## 9.Handbook of Monte Carlo Methods

Editorial: Wiley
ISBN 10: 0470177934 ISBN 13: 9780470177938