Simulation and the Monte Carlo Method (Wiley Series in Probability and Statistics) - Hardcover

Rubinstein, Reuven Y.; Kroese, Dirk P.

Hardcover

ISBN 10: 0470177942 ISBN 13: 9780470177945

Publisher: Wiley–Blackwell, 2008

Synopsis

Simulation and the Monte Carlo Method This long awaited Second Edition gives a fully updated and comprehensive account of the major topics in Monte Carlo Method simulation since the early 1980s. The book is geared to a broad audience of readers in engineering, the physical and life sciences, statistics, computer science, and mathematics. Full description

About this title

Review

"The book is clearly written and easy to read for people with mathematical background.... The material of the book is useful in most areas of the nowadays research work." ( International Statistical Review, April 2009)

"I enjoyed reading the book, and found the individual examples quite interesting." (Biometrics, December 2008)

"I enjoyed reading the book, and found the individual examples quite interesting." (Biometrics, December 2008)

"..if you need to learn how to use Monte Carlo in your simulations, this is probably the best single document I have ever read. "(Computing Reviews, September 2008)

"Rubinstein and Kroese did an exemplary job of addressing major issues and providing much needed updated information in this area." (CHOICE, June 2008)

"the book is nicely written and the additional to the book from the 1st edition certainly make it more attractive to a wider audience. I would recommend it to students and practioners with appropriate background." (MAA Review March 2008)

"I enjoyed reading the book, and found the individual examples quite interesting." ( Biometrics, December 2008)

"..if you need to learn how to use Monte Carlo in your simulations, this is probably the best single document I have ever read. "(Computing Reviews, September 2008)

"Rubinstein and Kroese did an exemplary job of addressing major issues and providing much needed updated information in this area." (CHOICE, June 2008)

"the book is nicely written and the additional to the book from the 1st edition certainly make it more attractive to a wider audience. I would recommend it to students and practioners with appropriate background." (MAA Review March 2008)

From the Back Cover

This accessible new edition explores the major topics in Monte Carlo simulation

Simulation and the Monte Carlo Method, Second Edition reflects the latest developments in the field and presents a fully updated and comprehensive account of the major topics that have emerged in Monte Carlo simulation since the publication of the classic First Edition over twenty–five years ago. While maintaining its accessible and intuitive approach, this revised edition features a wealth of up–to–date information that facilitates 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 that addresses the basic concepts of probability, Markov processes, and convex optimization. Subsequent chapters discuss the 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 as the transform likelihood ratio method and the screening method
• The score function method for sensitivity analysis
• The stochastic approximation method and the stochastic counter–part method for Monte Carlo optimization
• The cross–entropy method to rare events estimation and combinatorial optimization
• Application of Monte Carlo techniques for counting problems, with an emphasis on the parametric minimum cross–entropy method

An extensive range of exercises is provided at the end of each chapter, with more difficult sections and exercises marked accordingly for advanced readers. A generous sampling of applied examples is positioned throughout the book, emphasizing various areas of application, and a detailed appendix presents an introduction to exponential families, a discussion of the computational complexity of stochastic programming problems, and sample MATLAB programs.

Requiring only a basic, introductory knowledge of probability and statistics, Simulation and the Monte Carlo Method, Second Edition is an excellent text for upper–undergraduate and beginning graduate courses in simulation and Monte Carlo techniques. The book also serves as a valuable reference for professionals who would like to achieve a more formal understanding of the Monte Carlo method.

Edition details

• Publisher: Wiley–Blackwell
• Publication date: 2008
• ISBN 10: 0470177942
• ISBN 13: 9780470177945
• Binding: Hardcover
• Language: English
• Edition number: 2
• Number of pages: 372