Undergraduate Texts in Mathematics

Explorations in Monte Carlo Methods

Authors: Shonkwiler, Ronald W., Mendivil, Franklin

  • Applications covered: optimization, finance, statistical mechanics, birth and death processes, and gambling systems
  • Hands-on approach is used via realistic problems demonstrated with examples and numerical simulations
  • A wealth of completely solved example problems provide the reader with a sourcebook to follow toward the solution of their own computational problems
  • Each chapter ends with a large collection of homework problems illustrating and directing the material
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eBook $44.99
price for USA (gross)
  • ISBN 978-0-387-87837-9
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $59.95
price for USA
  • ISBN 978-0-387-87836-2
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $59.95
price for USA
  • ISBN 978-1-4899-8379-4
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
About this Textbook

Monte Carlo methods are among the most used and useful computational tools available today, providing efficient and practical algorithims to solve a wide range of scientific and engineering problems. Applications covered in this book include optimization, finance, statistical mechanics, birth and death processes, and gambling systems.

Explorations in Monte Carlo Methods provides a hands-on approach to learning this subject. Each new idea is carefully motivated by a realistic problem, thus leading from questions to theory via examples and numerical simulations. Programming exercises are integrated throughout the text as the primary vehicle for learning the material. Each chapter ends with a large collection of problems illustrating and directing the material.

This book is suitable as a textbook for students of engineering and the sciences, as well as mathematics. The problem-oriented approach makes it ideal for an applied course in basic probability and for a more specialized course in Monte Carlo methods. Topics include probability distributions, counting combinatorial objects, simulated annealing, genetic algorithms, option pricing, gamblers ruin, statistical mechanics, sampling, and random number generation.

About the authors

Ronald Shonkwiler is also publishing Mathematical Biology: An Introduction with Maple and Matlab, that will will be available in 2008. He is professor emeritus at Georgia Institute of Technology School of Mathematics. He received his PhD in 1970. His areas of expertise include: stochastic processes, optimization, computer simulation, Monte Carlo numerical methods, mathematical biology, and reproducing Kernel Hilbert spaces.

Franklin Mendevil is a professor at Acadia University in Nova Scotia. He received his PhD in 1996 at Georgia Institute of Technology. He has co-authored numerous papers and publications, several of which were with Dr. Shonkwiler.

Reviews

From the reviews:

"Explorations in Monte Carlo Methods by Ronald Shonkwiler and Franklin Mendivil is an undergraduate text that is both practical and accessible. … Explorations would make a good text book and would also be suitable for independent study. … It gives numerous applications of Monte Carlo methods including applications in electrical engineering, finance, optimization, and statistical mechanics. Each chapter has numerous exercises and the book concludes with an appendix listing several ideas for student projects applying Monte Carlo methods." (John D. Cook, The Mathematical Association of America, October, 2009)

“This undergraduate text explores the world of Monte Carlo methods under two premises: it shall be algorithmically oriented, and the students shall have fun with the subject. … At the end of each chapter there are … references, and more importantly, a large number of problems … . The problems are clearly pointed out, and hence it is really fun to follow the text. There are not many undergraduate texts on Monte Carlo methods; this is one to recommend for use in a classroom.”­­­ (Peter Mathé, Mathematical Reviews, Issue 2010 i)

“This clearly presented, easy-to-understand book offers beginners a hands-on approach to Monte Carlo methods (MCM). These extensively used methods offer valuable computational tools together with very useful, efficient, and practical algorithms for resolving difficult, complex problems confronting researchers/investigators in numerous disciplines. Shonkwiler (emer., Georgia Institute of Technology) and Mendivil (Acadia Univ., Canada) present the material in five chapters, each ending with a carefully selected list of problems. … Summing Up: Highly recommended. Academic libraries serving upper-division undergraduates; professionals/practitioners.” (D. V. Chopra, Choice, Vol. 47 (7), March, 2010)


Table of contents (5 chapters)

  • Introduction to Monte Carlo Methods

    Shonkwiler, Ronald W. (et al.)

    Pages 1-49

  • Some Probability Distributions and Their Uses

    Shonkwiler, Ronald W. (et al.)

    Pages 51-100

  • Markov Chain Monte Carlo

    Shonkwiler, Ronald W. (et al.)

    Pages 101-138

  • Optimization by Monte Carlo Methods

    Shonkwiler, Ronald W. (et al.)

    Pages 139-163

  • Random Walks

    Shonkwiler, Ronald W. (et al.)

    Pages 165-212

Buy this book

eBook $44.99
price for USA (gross)
  • ISBN 978-0-387-87837-9
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $59.95
price for USA
  • ISBN 978-0-387-87836-2
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $59.95
price for USA
  • ISBN 978-1-4899-8379-4
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Explorations in Monte Carlo Methods
Authors
Series Title
Undergraduate Texts in Mathematics
Copyright
2009
Publisher
Springer-Verlag New York
Copyright Holder
Springer-Verlag New York
eBook ISBN
978-0-387-87837-9
DOI
10.1007/978-0-387-87837-9
Hardcover ISBN
978-0-387-87836-2
Softcover ISBN
978-1-4899-8379-4
Series ISSN
0172-6056
Edition Number
1
Number of Pages
XII, 243
Topics