Description - Simulation and the Monte Carlo Method by Reuven Y. Rubinstein
This accessible new edition explores the major topics in Monte
Carlo simulation
Simulation and the Monte Carlo Method, Second Edition
reflects the latest developments in the field and presents a fully
updated and comprehensive account of the major topics that have
emerged in Monte Carlo simulation since the publication of the
classic First Edition over twenty-five years ago. While
maintaining its accessible and intuitive approach, this revised
edition features a wealth of up-to-date information that
facilitates a deeper understanding of problem solving across a wide
array of subject areas, such as engineering, statistics, computer
science, mathematics, and the physical and life sciences.
The book begins with a modernized introduction that addresses
the basic concepts of probability, Markov processes, and convex
optimization. Subsequent chapters discuss the dramatic changes that
have occurred in the field of the Monte Carlo method, with coverage
of many modern topics including:
Markov Chain Monte Carlo
Variance reduction techniques such as the transform likelihood
ratio method and the screening method
The score function method for sensitivity analysis
The stochastic approximation method and the stochastic
counter-part method for Monte Carlo optimization
The cross-entropy method to rare events estimation and
combinatorial optimization
Application of Monte Carlo techniques for counting problems,
with an emphasis on the parametric minimum cross-entropy
method
An extensive range of exercises is provided at the end of each
chapter, with more difficult sections and exercises marked
accordingly for advanced readers. A generous sampling of applied
examples is positioned throughout the book, emphasizing various
areas of application, and a detailed appendix presents an
introduction to exponential families, a discussion of the
computational complexity of stochastic programming problems, and
sample MATLAB programs.
Requiring only a basic, introductory knowledge of probability
and statistics, Simulation and the Monte Carlo Method,
Second Edition is an excellent text for upper-undergraduate and
beginning graduate courses in simulation and Monte Carlo
techniques. The book also serves as a valuable reference for
professionals who would like to achieve a more formal understanding
of the Monte Carlo method.
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Fast Sequential Monte Carlo Methods for Counting and Optimization
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