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Simulation and the Monte Carlo Method

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Provides the first simultaneous coverage of the statistical aspects of simulation and Monte Carlo methods, their commonalities and their differences for the solution of a wide spectrum of engineering and scientific problems. Contains standard material usually considered in Monte Carlo simulation as well as new material such as variance reduction techniques, regenerative simulation, and Monte Carlo optimization.

Author(s): Reuven Y. Rubinstein
Series: Wiley series in probability and mathematical statistics
Publisher: Wiley
Year: 1981

Language: English
Commentary: 71146
Pages: 298
City: New York
Tags: Математика;Вычислительная математика;

Cover Page......Page 1
Cover Page 2......Page 2
Title: Simulation and the Monte Carlo Method......Page 4
ISBN 0471089176......Page 5
Preface......Page 7
2 Random Number Generation......Page 10
3 Random Variate Generation......Page 11
5 Linear Equations and Markov Chains......Page 12
6 Regenerative Method for Simulation Analysis......Page 13
7 Monte Carlo Optimization......Page 14
1 Systems, Models, Simulation, and the Monte Carlo Methods......Page 16
2 Random Number Generation......Page 35
3 Random Variate Generation......Page 53
4 Monte Carlo Integration and Variance Reduction Techniques......Page 129
5 Linear Equations and Markov Chains......Page 173
6 Regenerative Method for Simulation Analysis......Page 198
7 Monte Carlo Optimization......Page 249
Index (with page links)......Page 292