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A First Course in Monte Carlo
George Fishman
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| #2711460 in Books | Cengage Learning | 2005-10-05 | Original language:English | PDF # 1 | 9.54 x.85 x7.46l,1.81 | File type: PDF | 350 pages | ||11 of 11 people found the following review helpful.| A very good first introduction to Monte Carlo|By Todd Ebert|A first course in Monte Carlo offers an introduction to Monte Carlo sampling, a very important topic in both statistics and computer science. Monte Carlo sampling can be described as follows. Suppose one has a function f(x) that is defined over a state space X. Two common problems are to i) determine the integer|About the Author|George Fishman has regularly contributed to the literature on the Monte Carlo method and discrete-event simulation over the last 40 years. His earlier book, MONTE CARLO: CONCEPTS, ALGORITHMS, AND APPLICATIONS (Springer-Verlag, 1996) won the 1996
A FIRST COURSE IN MONTE CARLO shows you how to design, perform, and analyze the results of MC experiments based on independent replications, Markov chain MC, and MC optimization. The text emphasizes the variance-reducing techniques of importance sampling, stratified sampling, Rao-Blackwellization, control variates, antithetic variates, and quasi-random numbers. For solving optimization problems it describes several MC techniques, including simulated annealing, simulated ...
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