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The Springer International Series in Engineering and Computer Science

Conditional Monte Carlo

Gradient Estimation and Optimization Applications

Authors: Fu, Michael C., Jian-Qiang Hu

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About this book

Conditional Monte Carlo: Gradient Estimation and Optimization Applications deals with various gradient estimation techniques of perturbation analysis based on the use of conditional expectation. The primary setting is discrete-event stochastic simulation. This book presents applications to queueing and inventory, and to other diverse areas such as financial derivatives, pricing and statistical quality control. To researchers already in the area, this book offers a unified perspective and adequately summarizes the state of the art. To researchers new to the area, this book offers a more systematic and accessible means of understanding the techniques without having to scour through the immense literature and learn a new set of notation with each paper. To practitioners, this book provides a number of diverse application areas that makes the intuition accessible without having to fully commit to understanding all the theoretical niceties. In sum, the objectives of this monograph are two-fold: to bring together many of the interesting developments in perturbation analysis based on conditioning under a more unified framework, and to illustrate the diversity of applications to which these techniques can be applied.
Conditional Monte Carlo: Gradient Estimation and Optimization Applications is suitable as a secondary text for graduate level courses on stochastic simulations, and as a reference for researchers and practitioners in industry.

Table of contents (8 chapters)

Table of contents (8 chapters)

Buy this book

eBook 160,49 €
price for Spain (gross)
  • ISBN 978-1-4615-6293-1
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover 238,16 €
price for Spain (gross)
  • ISBN 978-0-7923-9873-8
  • Free shipping for individuals worldwide
  • Immediate ebook access, if available*, with your print order
  • Usually dispatched within 3 to 5 business days.
  • The final prices may differ from the prices shown due to specifics of VAT rules
Softcover 207,99 €
price for Spain (gross)
  • ISBN 978-1-4613-7889-1
  • Free shipping for individuals worldwide
  • Immediate ebook access, if available*, with your print order
  • Usually dispatched within 3 to 5 business days.
  • The final prices may differ from the prices shown due to specifics of VAT rules
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Bibliographic Information

Bibliographic Information
Book Title
Conditional Monte Carlo
Book Subtitle
Gradient Estimation and Optimization Applications
Authors
Series Title
The Springer International Series in Engineering and Computer Science
Series Volume
392
Copyright
1997
Publisher
Springer US
Copyright Holder
Springer Science+Business Media New York
eBook ISBN
978-1-4615-6293-1
DOI
10.1007/978-1-4615-6293-1
Hardcover ISBN
978-0-7923-9873-8
Softcover ISBN
978-1-4613-7889-1
Series ISSN
0893-3405
Edition Number
1
Number of Pages
XV, 399
Topics

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