Springer Series in Operations Research and Financial Engineering

Monte Carlo

Concepts, Algorithms, and Applications

Authors: Fishman, George

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About this Textbook

This book provides an introduction to the Monte Carlo method suitable for a one-or two-semester course for graduate and advanced undergraduate students in the mathematical and engineering sciences. It also can serve as a reference for the professional analyst. In the past, my inability to provide students with a single­ source book on this topic for class and for later professional reference had left me repeatedly frustrated, and eventually motivated me to write this book. In addition to focused accounts of major topics, the book has two unifying themes: One concerns the effective use of information and the other concerns error control and reduction. The book describes how to incorporate information about a problem into a sampling plan in a way that reduces the cost of estimating its solution to within a specified error bound. Although exploiting special structures to reduce cost long has been a hallmark of the Monte Carlo method, the propen­ sity of users of the method to discard useful information because it does not fit traditional textbook models repeatedly has impressed me. The present account aims at reducing the impediments to integrating this information. Errors, both statistical and computational, abound in every Monte Carlo sam­ pling experiment, and a considerable methodology exists for controlling them.

Table of contents (7 chapters)

Table of contents (7 chapters)
  • Introduction

    Pages 1-12

    Fishman, George S.

  • Estimating Volume and Count

    Pages 13-144

    Fishman, George S.

  • Generating Samples

    Pages 145-254

    Fishman, George S.

  • Increasing Efficiency

    Pages 255-334

    Fishman, George S.

  • Random Tours

    Pages 335-491

    Fishman, George S.

Buy this book

eBook n/a
  • ISBN 978-1-4757-2553-7
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
Hardcover n/a
  • ISBN 978-0-387-94527-9
  • Free shipping for individuals worldwide
Softcover n/a
  • ISBN 978-1-4419-2847-4
  • Free shipping for individuals worldwide
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Bibliographic Information

Bibliographic Information
Book Title
Monte Carlo
Book Subtitle
Concepts, Algorithms, and Applications
Authors
Series Title
Springer Series in Operations Research and Financial Engineering
Copyright
1996
Publisher
Springer-Verlag New York
Copyright Holder
Springer Science+Business Media New York
eBook ISBN
978-1-4757-2553-7
DOI
10.1007/978-1-4757-2553-7
Hardcover ISBN
978-0-387-94527-9
Softcover ISBN
978-1-4419-2847-4
Series ISSN
1431-8598
Edition Number
1
Number of Pages
XXV, 698
Number of Illustrations
20 b/w illustrations
Topics