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Simulation and the Monte Carlo Method (Hardcover) (Reuven Y. Rubinstein & Dirk P. Kroese)

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Simulation and the Monte Carlo Method, Third Editionreflects 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 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 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, and application of Monte Carlo techniques for counting problems, with an emphasis on the parametric minimum cross-entropy method.

New to this edition are two chapters on the classic splitting method, which is used widely by the simulation community, and stochastic enumeration. Cross-entropy (CE) programs are written in Matlab.

Number of Pages: 414
Genre: Mathematics
Series Title: Wiley Series in Probability and Statistics
Format: Hardcover
Publisher: John Wiley & Sons Inc
Author: Reuven Y. Rubinstein & Dirk P. Kroese
Language: English
Street Date: November 7, 2016
TCIN: 52113637
UPC: 9781118632161
Item Number (DPCI): 248-41-7211
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