Strategies for Quasi-Monte Carlo - International Series in Operations Research & Management Science 22 (Paperback)
  • Strategies for Quasi-Monte Carlo - International Series in Operations Research & Management Science 22 (Paperback)
zoom

Strategies for Quasi-Monte Carlo - International Series in Operations Research & Management Science 22 (Paperback)

(author)
£123.00
Paperback 368 Pages / Published: 12/10/2012
  • We can order this

Usually dispatched within 3 weeks

  • This item has been added to your basket
Strategies for Quasi-Monte Carlo builds a framework to design and analyze strategies for randomized quasi-Monte Carlo (RQMC). One key to efficient simulation using RQMC is to structure problems to reveal a small set of important variables, their number being the effective dimension, while the other variables collectively are relatively insignificant. Another is smoothing. The book provides many illustrations of both keys, in particular for problems involving Poisson processes or Gaussian processes. RQMC beats grids by a huge margin. With low effective dimension, RQMC is an order-of-magnitude more efficient than standard Monte Carlo. With, in addition, certain smoothness - perhaps induced - RQMC is an order-of-magnitude more efficient than deterministic QMC. Unlike the latter, RQMC permits error estimation via the central limit theorem. For random-dimensional problems, such as occur with discrete-event simulation, RQMC gets judiciously combined with standard Monte Carlo to keep memory requirements bounded.
This monograph has been designed to appeal to a diverse audience, including those with applications in queueing, operations research, computational finance, mathematical programming, partial differential equations (both deterministic and stochastic), and particle transport, as well as to probabilists and statisticians wanting to know how to apply effectively a powerful tool, and to those interested in numerical integration or optimization in their own right. It recognizes that the heart of practical application is algorithms, so pseudocodes appear throughout the book. While not primarily a textbook, it is suitable as a supplementary text for certain graduate courses. As a reference, it belongs on the shelf of everyone with a serious interest in improving simulation efficiency. Moreover, it will be a valuable reference to all those individuals interested in improving simulation efficiency with more than incremental increases.

Publisher: Springer-Verlag New York Inc.
ISBN: 9781461373797
Number of pages: 368
Weight: 623 g
Dimensions: 235 x 155 x 21 mm
Edition: Softcover reprint of the original 1st ed. 199

You may also be interested in...

Jamaican Cooking Made Easy
Added to basket
The C++ Programming Language
Added to basket
Learning Agile
Added to basket
£35.99
Paperback
Data Wrangling with Python
Added to basket
Python Crash Course
Added to basket
£33.99
Paperback
Coding for Beginners in easy steps
Added to basket
Learn Python the Hard Way
Added to basket
£29.48
Mixed media product
C++ For Dummies
Added to basket
£21.99
Paperback
Designing Data-Intensive Applications
Added to basket
C++ All-in-One For Dummies
Added to basket
Puzzles for Programmers and Pros
Added to basket
Essential Scrum
Added to basket
£36.99
Paperback
Running Lean
Added to basket
£27.99
Paperback
Beginning Programming For Dummies
Added to basket
Android App Development For Dummies
Added to basket
Python For Kids For Dummies
Added to basket

Please sign in to write a review

Your review has been submitted successfully.