pick your favorite books

Stochastic Simulation And Monte Carlo Methods

Stochastic Simulation and Monte Carlo Methods PDF
Author: Carl Graham
Publisher: Springer Science & Business Media
ISBN: 3642393632
Size: 33.13 MB
Format: PDF
Category : Mathematics
Languages : en
Pages : 260
View: 6922

Get Book

Stochastic Simulation And Monte Carlo Methods

by Carl Graham, Stochastic Simulation And Monte Carlo Methods Books available in PDF, EPUB, Mobi Format. Download Stochastic Simulation And Monte Carlo Methods books, In various scientific and industrial fields, stochastic simulations are taking on a new importance. This is due to the increasing power of computers and practitioners’ aim to simulate more and more complex systems, and thus use random parameters as well as random noises to model the parametric uncertainties and the lack of knowledge on the physics of these systems. The error analysis of these computations is a highly complex mathematical undertaking. Approaching these issues, the authors present stochastic numerical methods and prove accurate convergence rate estimates in terms of their numerical parameters (number of simulations, time discretization steps). As a result, the book is a self-contained and rigorous study of the numerical methods within a theoretical framework. After briefly reviewing the basics, the authors first introduce fundamental notions in stochastic calculus and continuous-time martingale theory, then develop the analysis of pure-jump Markov processes, Poisson processes, and stochastic differential equations. In particular, they review the essential properties of Itô integrals and prove fundamental results on the probabilistic analysis of parabolic partial differential equations. These results in turn provide the basis for developing stochastic numerical methods, both from an algorithmic and theoretical point of view. The book combines advanced mathematical tools, theoretical analysis of stochastic numerical methods, and practical issues at a high level, so as to provide optimal results on the accuracy of Monte Carlo simulations of stochastic processes. It is intended for master and Ph.D. students in the field of stochastic processes and their numerical applications, as well as for physicists, biologists, economists and other professionals working with stochastic simulations, who will benefit from the ability to reliably estimate and control the accuracy of their simulations.




Simulation And The Monte Carlo Method

Simulation and the Monte Carlo Method PDF
Author: Reuven Y. Rubinstein
Publisher: John Wiley & Sons
ISBN: 1118632168
Size: 27.78 MB
Format: PDF, Kindle
Category : Mathematics
Languages : en
Pages : 432
View: 5407

Get Book

Simulation And The Monte Carlo Method

by Reuven Y. Rubinstein, Simulation And The Monte Carlo Method Books available in PDF, EPUB, Mobi Format. Download Simulation And The Monte Carlo Method books, "[This third edition] reflects the latest developments in the field and presents a fully updates and comprehensive account of state-of-the art theory, methods, and applications that have emerged in Monte Carlo simulation since the publication of the classic first edition over more than a quarter of a century ago. While maintaining its accessible and intuitive approach, this revised edition features a wealth of up-to-date information facilitating a deeper understanding of problem solving across a wide array of subject areas, such as engineering, statistics, computer science, mathematics, and the physical and life sciences. The book begins with a modernized introduction addressing the basic concepts of probability, Markov processes, and convex optimization. Subsequent chapters discuss dramatic changes that have occurred in the field of the Monte Carlo method, with coverage of many modern topics including : Markov chain Monte Carlo, variance reduction techniques such a importance (re)sampling and the transform likelihood ratio method, score function method for sensitivity analysis, stochastic approximation method and stochastic counter-part method for Monte Carlo optimization, cross-entropy method for rare events estimation and combinatorial optimization, and application of Monte Carlo techniques for counting problems. An extensive range of exercises is provided at the end of each chapter, as well as a generous sampling of applied examples." (source : 4ème de couverture).




Monte Carlo Methods And Stochastic Processes

Monte Carlo Methods and Stochastic Processes PDF
Author: Emmanuel Gobet
Publisher: CRC Press
ISBN: 9780367658465
Size: 72.53 MB
Format: PDF, ePub, Mobi
Category :
Languages : en
Pages : 310
View: 5255

Get Book

Monte Carlo Methods And Stochastic Processes

by Emmanuel Gobet, Monte Carlo Methods And Stochastic Processes Books available in PDF, EPUB, Mobi Format. Download Monte Carlo Methods And Stochastic Processes books, Developed from the author's course at the Ecole Polytechnique, Monte-Carlo Methods and Stochastic Processes: From Linear to Non-Linear focuses on the simulation of stochastic processes in continuous time and their link with partial differential equations (PDEs). It covers linear and nonlinear problems in biology, finance, geophysics, mechanics, chemistry, and other application areas. The text also thoroughly develops the problem of numerical integration and computation of expectation by the Monte-Carlo method. The book begins with a history of Monte-Carlo methods and an overview of three typical Monte-Carlo problems: numerical integration and computation of expectation, simulation of complex distributions, and stochastic optimization. The remainder of the text is organized in three parts of progressive difficulty. The first part presents basic tools for stochastic simulation and analysis of algorithm convergence. The second part describes Monte-Carlo methods for the simulation of stochastic differential equations. The final part discusses the simulation of non-linear dynamics.




Monte Carlo Methods In Financial Engineering

Monte Carlo Methods in Financial Engineering PDF
Author: Paul Glasserman
Publisher: Springer Science & Business Media
ISBN: 0387216170
Size: 66.69 MB
Format: PDF
Category : Mathematics
Languages : en
Pages : 596
View: 3029

Get Book

Monte Carlo Methods In Financial Engineering

by Paul Glasserman, Monte Carlo Methods In Financial Engineering Books available in PDF, EPUB, Mobi Format. Download Monte Carlo Methods In Financial Engineering books, From the reviews: "Paul Glasserman has written an astonishingly good book that bridges financial engineering and the Monte Carlo method. The book will appeal to graduate students, researchers, and most of all, practicing financial engineers [...] So often, financial engineering texts are very theoretical. This book is not." --Glyn Holton, Contingency Analysis




Stochastic Simulations Of Clusters

Stochastic Simulations of Clusters PDF
Author: Emanuele Curotto
Publisher: CRC Press
ISBN: 9781420082265
Size: 70.63 MB
Format: PDF, Kindle
Category : Science
Languages : en
Pages : 696
View: 7289

Get Book

Stochastic Simulations Of Clusters

by Emanuele Curotto, Stochastic Simulations Of Clusters Books available in PDF, EPUB, Mobi Format. Download Stochastic Simulations Of Clusters books, Unravels Complex Problems through Quantum Monte Carlo Methods Clusters hold the key to our understanding of intermolecular forces and how these affect the physical properties of bulk condensed matter. They can be found in a multitude of important applications, including novel fuel materials, atmospheric chemistry, semiconductors, nanotechnology, and computational biology. Focusing on the class of weakly bound substances known as van derWaals clusters or complexes, Stochastic Simulations of Clusters: Quantum Methods in Flat and Curved Spaces presents advanced quantum simulation techniques for condensed matter. The book develops finite temperature statistical simulation tools and real-time algorithms for the exact solution of the Schrödinger equation. It draws on potential energy models to gain insight into the behavior of minima and transition states. Using Monte Carlo methods as well as ground state variational and diffusion Monte Carlo (DMC) simulations, the author explains how to obtain temperature and quantum effects. He also shows how the path integral approach enables the study of quantum effects at finite temperatures. To overcome timescale problems, this book supplies efficient and accurate methods, such as diagonalization techniques, differential geometry, the path integral method in statistical mechanics, and the DMC approach. Gleaning valuable information from recent research in this area, it presents special techniques for accelerating the convergence of quantum Monte Carlo methods.




Stochastic Simulation Algorithms And Analysis

Stochastic Simulation  Algorithms and Analysis PDF
Author: Søren Asmussen
Publisher: Springer Science & Business Media
ISBN: 0387690336
Size: 41.81 MB
Format: PDF, Mobi
Category : Mathematics
Languages : en
Pages : 476
View: 5242

Get Book

Stochastic Simulation Algorithms And Analysis

by Søren Asmussen, Stochastic Simulation Algorithms And Analysis Books available in PDF, EPUB, Mobi Format. Download Stochastic Simulation Algorithms And Analysis books, 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.




Markov Chain Monte Carlo

Markov Chain Monte Carlo PDF
Author: Dani Gamerman
Publisher: CRC Press
ISBN: 9781584885870
Size: 15.66 MB
Format: PDF, Mobi
Category : Mathematics
Languages : en
Pages : 344
View: 290

Get Book

Markov Chain Monte Carlo

by Dani Gamerman, Markov Chain Monte Carlo Books available in PDF, EPUB, Mobi Format. Download Markov Chain Monte Carlo books, While there have been few theoretical contributions on the Markov Chain Monte Carlo (MCMC) methods in the past decade, current understanding and application of MCMC to the solution of inference problems has increased by leaps and bounds. Incorporating changes in theory and highlighting new applications, Markov Chain Monte Carlo: Stochastic Simulation for Bayesian Inference, Second Edition presents a concise, accessible, and comprehensive introduction to the methods of this valuable simulation technique. The second edition includes access to an internet site that provides the code, written in R and WinBUGS, used in many of the previously existing and new examples and exercises. More importantly, the self-explanatory nature of the codes will enable modification of the inputs to the codes and variation on many directions will be available for further exploration. Major changes from the previous edition: · More examples with discussion of computational details in chapters on Gibbs sampling and Metropolis-Hastings algorithms · Recent developments in MCMC, including reversible jump, slice sampling, bridge sampling, path sampling, multiple-try, and delayed rejection · Discussion of computation using both R and WinBUGS · Additional exercises and selected solutions within the text, with all data sets and software available for download from the Web · Sections on spatial models and model adequacy The self-contained text units make MCMC accessible to scientists in other disciplines as well as statisticians. The book will appeal to everyone working with MCMC techniques, especially research and graduate statisticians and biostatisticians, and scientists handling data and formulating models. The book has been substantially reinforced as a first reading of material on MCMC and, consequently, as a textbook for modern Bayesian computation and Bayesian inference courses.




Proceedings Of The 1991 Symposium On Systems Analysis In Forest Resources

Proceedings of the 1991 Symposium on Systems Analysis in Forest Resources PDF
Author:
Publisher:
ISBN:
Size: 48.20 MB
Format: PDF, ePub, Mobi
Category : Forest and forestry
Languages : en
Pages : 423
View: 6967

Get Book

Proceedings Of The 1991 Symposium On Systems Analysis In Forest Resources

by , Proceedings Of The 1991 Symposium On Systems Analysis In Forest Resources Books available in PDF, EPUB, Mobi Format. Download Proceedings Of The 1991 Symposium On Systems Analysis In Forest Resources books,




Monte Carlo Methods And Applications

Monte Carlo Methods and Applications PDF
Author: Ivan Dimov
Publisher: Walter de Gruyter
ISBN: 3110293587
Size: 66.67 MB
Format: PDF
Category : Mathematics
Languages : en
Pages : 246
View: 4117

Get Book

Monte Carlo Methods And Applications

by Ivan Dimov, Monte Carlo Methods And Applications Books available in PDF, EPUB, Mobi Format. Download Monte Carlo Methods And Applications books, This is the proceedings of the "8th IMACS Seminar on Monte Carlo Methods" held from August 29 to September 2, 2011 in Borovets, Bulgaria, and organized by the Institute of Information and Communication Technologies of the Bulgarian Academy of Sciences in cooperation with the International Association for Mathematics and Computers in Simulation (IMACS). Included are 24 papers which cover all topics presented in the sessions of the seminar: stochastic computation and complexity of high dimensional problems, sensitivity analysis, high-performance computations for Monte Carlo applications, stochastic metaheuristics for optimization problems, sequential Monte Carlo methods for large-scale problems, semiconductor devices and nanostructures.




Handbook Of Monte Carlo Methods

Handbook of Monte Carlo Methods PDF
Author: Dirk P. Kroese
Publisher: John Wiley & Sons
ISBN: 9781118014950
Size: 77.33 MB
Format: PDF, Kindle
Category : Mathematics
Languages : en
Pages : 772
View: 1389

Get Book

Handbook Of Monte Carlo Methods

by Dirk P. Kroese, Handbook Of Monte Carlo Methods Books available in PDF, EPUB, Mobi Format. Download Handbook Of Monte Carlo Methods books, 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.