Custom cover image
Custom cover image

Simulation and the Monte Carlo method / Reuven Y. Rubinstein, Technion, Dirk P. Kroese, University of Queensland

By: Contributor(s): Resource type: Ressourcentyp: Buch (Online)Book (Online)Language: English Series: Wiley series in probability and statisticsPublisher: Hoboken, New Jersey : Wiley, [2017]Copyright date: © 2017Edition: Third editionDescription: 1 Online-Ressource (xvii, 414 Seiten) : Illustrationen, DiagrammeISBN:
  • 9781118632208
  • 9781118632383
  • 1118632206
  • 9781118631980
  • 1118631986
Subject(s): Additional physical formats: 9781118632161. | Erscheint auch als: Simulation and the Monte Carlo method. Druck-Ausgabe Third edition. Hoboken, New Jersey : Wiley, 2017. xvii, 414 SeitenDDC classification:
  • 519.282
  • 518.282 23
MSC: MSC: *68-01 | 65-01 | 65C05 | 65C10 | 68T20 | 68U20RVK: RVK: SK 820Local classification: Lokale Notation: math 8.22LOC classification:
  • QA298.R835 2017
  • QA298
Online resources: Summary: 1.13.3 Limiting Behavior1.13.4 Reversibility; 1.13.5 Markov Jump Processes; 1.14 GAUSSIAN PROCESSES; 1.15 INFORMATION; 1.15.1 Shannon Entropy; 1.15.2 Kullback-Leibler Cross-Entropy; 1.15.3 Maximum Likelihood Estimator and Score Function; 1.15.4 Fisher Information; 1.16 CONVEX OPTIMIZATION AND DUALITY; 1.16.1 Lagrangian Method; 1.16.2 Duality; PROBLEMS; REFERENCES; CHAPTER 2 RANDOM NUMBER, RANDOM VARIABLE, AND STOCHASTIC PROCESS GENERATION; 2.1 INTRODUCTION; 2.2 RANDOM NUMBER GENERATION; 2.2.1 Multiple Recursive Generators; 2.2.2 Modulo 2 Linear Generators; 2.3 RANDOM VARIABLE GENERATIONSummary: 2.3.1 Inverse-Transform Method2.3.2 Alias Method; 2.3.3 Composition Method; 2.3.4 Acceptance-Rejection Method; 2.4 GENERATING FROM COMMONLY USED DISTRIBUTIONS; 2.4.1 Generating Continuous Random Variables; 2.4.2 Generating Discrete Random Variables; 2.5 RANDOM VECTOR GENERATION; 2.5.1 Vector Acceptance-Rejection Method; 2.5.2 Generating Variables from a Multinormal Distribution; 2.5.3 Generating Uniform Random Vectors over a Simplex; 2.5.4 Generating Random Vectors Uniformly Distributed over a Unit Hyperball and HypersphereSummary: 2.5.5 Generating Random Vectors Uniformly Distributed inside a Hyperellipsoid2.6 GENERATING POISSON PROCESSES; 2.7 GENERATING MARKOV CHAINS AND MARKOV JUMP PROCESSES; 2.7.1 Random Walk on a Graph; 2.7.2 Generating Markov Jump Processes; 2.8 GENERATING GAUSSIAN PROCESSES; 2.9 GENERATING DIFFUSION PROCESSES; 2.10 GENERATING RANDOM PERMUTATIONS; PROBLEMS; REFERENCES; CHAPTER 3 SIMULATION OF DISCRETE-EVENT SYSTEMS; 3.1 INTRODUCTION; 3.2 SIMULATION MODELS; 3.2.1 Classification of Simulation Models; 3.3 SIMULATION CLOCK AND EVENT LIST FOR DEDS; 3.4 DISCRETE-EVENT SIMULATION; 3.4.1 Tandem QueueSummary: 3.4.2 Repairman ProblemPROBLEMS; REFERENCES; CHAPTER 4 STATISTICAL ANALYSIS OF DISCRETE-EVENT SYSTEMS; 4.1 INTRODUCTION; 4.2 ESTIMATORS AND CONFIDENCE INTERVALS; 4.3 STATIC SIMULATION MODELS; 4.4 DYNAMIC SIMULATION MODELS; 4.4.1 Finite-Horizon Simulation; 4.4.2 Steady-State Simulation; 4.5 BOOTSTRAP METHOD; PROBLEMS; REFERENCES; CHAPTER 5 CONTROLLING THE VARIANCE; 5.1 INTRODUCTION; 5.2 COMMON AND ANTITHETIC RANDOM VARIABLES; 5.3 CONTROL VARIABLES; 5.4 CONDITIONAL MONTE CARLO; 5.4.1 Variance Reduction for Reliability Models; 5.5 STRATIFIED SAMPLING; 5.6 MULTILEVEL MONTE CARLOSummary: SIMULATION AND THE MONTE CARLO METHOD; CONTENTS; PREFACE; ACKNOWLEDGMENTS; CHAPTER 1 PRELIMINARIES; 1.1 INTRODUCTION; 1.2 RANDOM EXPERIMENTS; 1.3 CONDITIONAL PROBABILITY AND INDEPENDENCE; 1.4 RANDOM VARIABLES AND PROBABILITY DISTRIBUTIONS; 1.5 SOME IMPORTANT DISTRIBUTIONS; 1.6 EXPECTATION; 1.7 JOINT DISTRIBUTIONS; 1.8 FUNCTIONS OF RANDOM VARIABLES; 1.8.1 Linear Transformations; 1.8.2 General Transformations; 1.9 TRANSFORMS; 1.10 JOINTLY NORMAL RANDOM VARIABLES; 1.11 LIMIT THEOREMS; 1.12 POISSON PROCESSES; 1.13 MARKOV PROCESSES; 1.13.1 Markov Chains; 1.13.2 Classification of StatesPPN: PPN: 1002766451Package identifier: Produktsigel: ZDB-35-UBC | ZDB-35-WIC
No physical items for this record
KIT – The Research University in the Helmholtz Association                         Home | Impressum | Datenschutz | Barrierefreiheit | KIT