Stochastic Simulation: Algorithms and Analysis

Stochastic Simulation: Algorithms and Analysis

Sampling-based computational methods have become a fundamental part of the numerical toolset of practitioners and researchers across an enormous number of different applied domains and academic disciplines. This book provides a broad treatment of such sampling-based methods, as well as accompanying...

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Detalles Bibliográficos
Autores principales: Asmussen, Søren. author (author), Glynn, Peter W. author
Formato: Libro electrónico
Idioma:Inglés
Publicado: New York, NY : Springer New York 2007.
Edición:1st ed. 2007.
Colección:Stochastic Modelling and Applied Probability, 57
Materias:
Probabilities.
Statistics .
Operations research.
Decision making.
Industrial engineering.
Production engineering.
Management science.
Economics, Mathematical .
Probability Theory and Stochastic Processes.
Statistical Theory and Methods.
Operations Research/Decision Theory.
Industrial and Production Engineering.
Operations Research, Management Science.
Quantitative Finance.
Ver en Biblioteca Universitat Ramon Llull:https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009461737806719
Tabla de Contenidos:
  • General Methods and Algorithms
  • Generating Random Objects
  • Output Analysis
  • Steady-State Simulation
  • Variance-Reduction Methods
  • Rare-Event Simulation
  • Derivative Estimation
  • Stochastic Optimization
  • Algorithms for Special Models
  • Numerical Integration
  • Stochastic Di3erential Equations
  • Gaussian Processes
  • Lèvy Processes
  • Markov Chain Monte Carlo Methods
  • Selected Topics and Extended Examples
  • What This Book Is About
  • What This Book Is About.

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