Simulation and the Monte Carlo Method (3rd Edition) – eBook

This accessible new Third Edition examines the key topics in Monte Carlo simulation that have arisen over the last 30 years and presents a sound foundation for problem-solving

Simulation and the Monte Carlo Method, 3rd Edition, (PDF) shows the latest developments in the field and presents a completely updated and comprehensive account of the state-of-the-art theory, methods, and applications that have arisen in Monte Carlo simulation since the publication of the classic First Edition over more than a quarter of a century ago. While upholding its accessible and intuitive approach, this revised edition includes a wealth of up-to-date information that enables a deeper understanding of problem-solving across a wide array of subject areas, such as engineering, computer science, mathematics, statistics, and the physical and life sciences. The ebook begins with a modernized introduction that addresses the basic concepts of probability, Markov processes, and convex optimization. Following chapters discuss the dramatic changes that have occurred in the field of the Monte Carlo method, with coverage of numerous modern topics including: Markov Chain Monte Carlo, variance reduction techniques like importance (re-)sampling, and the transform likelihood ratio method, the stochastic approximation method and the stochastic counter-part method for Monte Carlo optimization, the score function method for sensitivity analysis, the cross-entropy method for rare events estimation and combinatorial optimization, and application of Monte Carlo techniques for counting problems. A wide range of exercises is given at the end of each chapter, in addition to a generous sampling of applied examples.

The 3rd Edition includes a new chapter on the highly versatile splitting method, with applications to rare-event estimation, sampling, counting, and optimization. A second new chapter introduces the stochastic enumeration method, which is a new fast sequential Monte Carlo method for tree search. Moreover, the 3^rd Edition features new material on:

• More than 25 new exercises
• Multilevel Monte Carlo method
• More than 100 algorithms in modern pseudo code with flow control
• Simulation of Brownian motion, Gaussian processes, and diffusion processes
• Random number generation, including the Mersenne Twister and multiple-recursive generators
• New improvements of the cross-entropy (CE) method, including the “improved” CE method, which uses sampling from the zero-variance distribution to find the optimal importance sampling parameters

Simulation and the Monte Carlo Method 3e is an excellent textbook for upper-undergraduate and beginning graduate courses in stochastic simulation and Monte Carlo techniques. The ebook also serves as a helpful reference for professionals who would like to attain a more formal understanding of the Monte Carlo method.

NOTE: The product only includes the ebook, Simulation and the Monte Carlo Method, 3rd Edition, in PDF. No access codes are included.