Stochastic Simulation Algorithms And Analysis
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Stochastic Simulation Algorithms And Analysis
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Author : Søren Asmussen
language : en
Publisher: Springer
Release Date : 2007-07-27
Stochastic Simulation Algorithms And Analysis written by Søren Asmussen and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-07-27 with Mathematics categories.
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 mathematical analysis of the convergence properties of the methods discussed. The reach of the ideas is illustrated by discussing a wide range of applications and the models that have found wide usage. The first half of the book focuses on general methods; the second half discusses model-specific algorithms. Exercises and illustrations are included.
Stochastic Simulation Algorithms And Analysis
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Author : Søren Asmussen
language : en
Publisher: Springer Science & Business Media
Release Date : 2007-07-14
Stochastic Simulation Algorithms And Analysis written by Søren Asmussen and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-07-14 with Mathematics categories.
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 mathematical analysis of the convergence properties of the methods discussed. The reach of the ideas is illustrated by discussing a wide range of applications and the models that have found wide usage. Given the wide range of examples, exercises and applications students, practitioners and researchers in probability, statistics, operations research, economics, finance, engineering as well as biology and chemistry and physics will find the book of value.
Foundations And Methods Of Stochastic Simulation
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Author : Barry Nelson
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-01-31
Foundations And Methods Of Stochastic Simulation written by Barry Nelson and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-01-31 with Business & Economics categories.
This graduate-level text covers modeling, programming and analysis of simulation experiments and provides a rigorous treatment of the foundations of simulation and why it works. It introduces object-oriented programming for simulation, covers both the probabilistic and statistical basis for simulation in a rigorous but accessible manner (providing all necessary background material); and provides a modern treatment of experiment design and analysis that goes beyond classical statistics. The book emphasizes essential foundations throughout, rather than providing a compendium of algorithms and theorems and prepares the reader to use simulation in research as well as practice. The book is a rigorous, but concise treatment, emphasizing lasting principles but also providing specific training in modeling, programming and analysis. In addition to teaching readers how to do simulation, it also prepares them to use simulation in their research; no other book does this. An online solutions manual for end of chapter exercises is also provided.
Stochastic Modeling
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Author : Barry L. Nelson
language : en
Publisher: Courier Corporation
Release Date : 2012-10-11
Stochastic Modeling written by Barry L. Nelson and has been published by Courier Corporation this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-10-11 with Mathematics categories.
Coherent introduction to techniques also offers a guide to the mathematical, numerical, and simulation tools of systems analysis. Includes formulation of models, analysis, and interpretation of results. 1995 edition.
Stochastic Simulation Optimization
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Author : Chun-hung Chen
language : en
Publisher: World Scientific
Release Date : 2010
Stochastic Simulation Optimization written by Chun-hung Chen and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Business & Economics categories.
With the advance of new computing technology, simulation is becoming very popular for designing large, complex, and stochastic engineering systems, since closed-form analytical solutions generally do not exist for such problems. However, the added flexibility of simulation often creates models that are computationally intractable. Moreover, to obtain a sound statistical estimate at a specified level of confidence, a large number of simulation runs (or replications) is usually required for each design alternative. If the number of design alternatives is large, the total simulation cost can be very expensive. This book addresses the pertinent efficiency issue via smart allocation of computing resource in the simulation experiments for optimization, and aims to provide academic researchers and industrial practitioners a comprehensive coverage of OCBA approach for stochastic simulation optimization. Starting with an intuitive explanation of computing budget allocation and a discussion of its impact on optimization performance, a series of OCBA approaches developed for various problems are then presented, from the selection of the best design to optimization with multiple objectives.Finally, this book discusses the potential extension of OCBA notion to different applications such as data envelopment analysis, experiments of design, and rare-event simulation.
Stochastic Simulation
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Author : Brian D. Ripley
language : en
Publisher: John Wiley & Sons
Release Date : 2009-09-25
Stochastic Simulation written by Brian D. Ripley and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-09-25 with Mathematics categories.
WILEY-INTERSCIENCE PAPERBACK SERIES The Wiley-Interscience Paperback Series consists of selected books that have been made more accessible to consumers in an effort to increase global appeal and general circulation. With these new unabridged softcover volumes, Wiley hopes to extend the lives of these works by making them available to future generations of statisticians, mathematicians, and scientists. ". . .this is a very competently written and useful addition to the statistical literature; a book every statistician should look at and that many should study!" —Short Book Reviews, International Statistical Institute ". . .reading this book was an enjoyable learning experience. The suggestions and recommendations on the methods [make] this book an excellent reference for anyone interested in simulation. With its compact structure and good coverage of material, it [is] an excellent textbook for a simulation course." —Technometrics ". . .this work is an excellent comprehensive guide to simulation methods, written by a very competent author. It is especially recommended for those users of simulation methods who want more than a 'cook book'. " —Mathematics Abstracts This book is a comprehensive guide to simulation methods with explicit recommendations of methods and algorithms. It covers both the technical aspects of the subject, such as the generation of random numbers, non-uniform random variates and stochastic processes, and the use of simulation. Supported by the relevant mathematical theory, the text contains a great deal of unpublished research material, including coverage of the analysis of shift-register generators, sensitivity analysis of normal variate generators, analysis of simulation output, and more.
Stochastic Processes In Polymeric Fluids
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Author : Hans C. Öttinger
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Stochastic Processes In Polymeric Fluids written by Hans C. Öttinger and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Technology & Engineering categories.
A SPECTER is haunting the scientific world-the specter of com puters. All the powers of traditional science have entered into a holy alliance to exorcise this specter: puristic theoreticians and tradition alistic experimentalists, editors and referees of prestigious journals, philosophers of science and mathematicians. Where is a pioneering computer simulation that has not been decried as unreliable by its opponents in power? The Computer Manifesto As a result of the enormous progress in computer technology made during the last few decades, computer simulations have become a very powerful and widely applicable tool in science and engineering. The main purpose of this . book is a comprehensive description of the background and possibilities for the application of computer simulation techniques in polymer fluid dynamics. Mod eling and understanding the flow behavior of polymeric liquids on the kinetic theory level is not merely a great intellectual challenge but rather a matter of immense practical importance, for example, in connection with plastics manu facture, processing of foods, and movement of biological fluids. The classical computer simulation technique for static problems in statis tical mechanics is the Monte Carlo method developed in the early 1950s. The name of this method underlines how unusual and strange the idea of using ran dom numbers in the exact sciences is at first glance. However, the Monte Carlo method is a rigorous and efficient means for evaluating moments and static spa tial correlation functions for given probability distributions.
Recent Advances In Stochastic Modeling And Data Analysis
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Author : Christos H Skiadas
language : en
Publisher: World Scientific
Release Date : 2007-11-16
Recent Advances In Stochastic Modeling And Data Analysis written by Christos H Skiadas and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-11-16 with Mathematics categories.
This volume presents the most recent applied and methodological issues in stochastic modeling and data analysis. The contributions cover various fields such as stochastic processes and applications, data analysis methods and techniques, Bayesian methods, biostatistics, econometrics, sampling, linear and nonlinear models, networks and queues, survival analysis, and time series. The volume presents new results with potential for solving real-life problems and provides novel methods for solving these problems by analyzing the relevant data. The use of recent advances in different fields is emphasized, especially new optimization and statistical methods, data warehouse, data mining and knowledge systems, neural computing, and bioinformatics.
Stochastic Analysis Stochastic Systems And Applications To Finance
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Author : Allanus Hak-Man Tsoi
language : en
Publisher: World Scientific
Release Date : 2011
Stochastic Analysis Stochastic Systems And Applications To Finance written by Allanus Hak-Man Tsoi and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with Business & Economics categories.
Pt. I. Stochastic analysis and systems. 1. Multidimensional Wick-Ito formula for Gaussian processes / D. Nualart and S. Ortiz-Latorre. 2. Fractional white noise multiplication / A.H. Tsoi. 3. Invariance principle of regime-switching diffusions / C. Zhu and G. Yin -- pt. II. Finance and stochastics. 4. Real options and competition / A. Bensoussan, J.D. Diltz and S.R. Hoe. 5. Finding expectations of monotone functions of binary random variables by simulation, with applications to reliability, finance, and round robin tournaments / M. Brown, E.A. Pekoz and S.M. Ross. 6. Filtering with counting process observations and other factors : applications to bond price tick data / X. Hu, D.R. Kuipers and Y. Zeng. 7. Jump bond markets some steps towards general models in applications to hedging and utility problems / M. Kohlmann and D. Xiong. 8. Recombining tree for regime-switching model : algorithm and weak convergence / R.H. Liu. 9. Optimal reinsurance under a jump diffusion model / S. Luo. 10. Applications of counting processes and martingales in survival analysis / J. Sun. 11. Stochastic algorithms and numerics for mean-reverting asset trading / Q. Zhang, C. Zhuang and G. Yin
Monte Carlo Methods And Stochastic Processes
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Author : Emmanuel Gobet
language : en
Publisher: CRC Press
Release Date : 2016-09-15
Monte Carlo Methods And Stochastic Processes written by Emmanuel Gobet and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-09-15 with Mathematics categories.
Developed from the author’s course at the Ecole Polytechnique, Monte-Carlo Methods and Stochastic Processes: From Linear to Non-Linear focuses on the simulation of stochastic processes in continuous time and their link with partial differential equations (PDEs). It covers linear and nonlinear problems in biology, finance, geophysics, mechanics, chemistry, and other application areas. The text also thoroughly develops the problem of numerical integration and computation of expectation by the Monte-Carlo method. The book begins with a history of Monte-Carlo methods and an overview of three typical Monte-Carlo problems: numerical integration and computation of expectation, simulation of complex distributions, and stochastic optimization. The remainder of the text is organized in three parts of progressive difficulty. The first part presents basic tools for stochastic simulation and analysis of algorithm convergence. The second part describes Monte-Carlo methods for the simulation of stochastic differential equations. The final part discusses the simulation of non-linear dynamics.