Monte Carlo Strategies in Scientific Computing

Jun S. Liu (Autor)

Buch | Hardcover

360 Seiten

2002 | 1st Corrected ed. 2004. Corr. 2nd printing 2002
Springer-Verlag New York Inc.
978-0-387-95230-7 (ISBN)

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This book provides an up-to-date treatment of the Monte Carlo method and develops a common framework under which various Monte Carlo techniques can be "standardized" and compared. It can be used as a textbook for a graduate-level course on Monte Carlo methods.

This book provides a self-contained and up-to-date treatment of the Monte Carlo method and develops a common framework under which various Monte Carlo techniques can be "standardized" and compared. Given the interdisciplinary nature of the topics and a moderate prerequisite for the reader, this book should be of interest to a broad audience of quantitative researchers such as computational biologists, computer scientists, econometricians, engineers, probabilists, and statisticians. It can also be used as a textbook for a graduate-level course on Monte Carlo methods.

Introduction and examples.- Basic principles: rejection, weighting, and others.- Theory of sequential Monte Carlo.- Sequential Monte Carlo in action.- Metropolis algorithm and beyond.- The Gibbs sampler.- Cluster algorithms for the Ising model.- General conditional sampling.- Molecular dynamics and hybrid Monte Carlo.- Multilevel sampling and optimization methods.- Population-based Monte Carlo methods.- Markov chains and their convergence.- Selected theoretical topics.

Erscheint lt. Verlag	17.10.2002
Reihe/Serie	Springer Series in Statistics
Zusatzinfo	biography
Verlagsort	New York, NY
Sprache	englisch
Maße	155 x 235 mm
Gewicht	620 g
Einbandart	gebunden
Themenwelt	Schulbuch / Wörterbuch ► Lexikon / Chroniken
Themenwelt	Mathematik / Informatik ► Mathematik ► Wahrscheinlichkeit / Kombinatorik
ISBN-10	0-387-95230-6 / 0387952306
ISBN-13	978-0-387-95230-7 / 9780387952307
Zustand	Neuware