科学計算におけるモンテカルロ戦略<br>Monte Carlo Strategies in Scientific Computing (Springer Series in Statistics)

科学計算におけるモンテカルロ戦略
Monte Carlo Strategies in Scientific Computing (Springer Series in Statistics)

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  • 製本 Hardcover:ハードカバー版／ページ数 343 p.
  • 商品コード 9780387952307

基本説明

New in paperback. Hardcover was published in 2001. Provides a self-contained and up-to-date treatment of the Monte Carlo method and develops a common framework under which various Monte Carlo techniques can be "standardized" and compared.

Full Description


This book provides a self-contained and up-to-date treatment of the Monte Carlo method and develops a common framework under which various Monte Carlo techniques can be "standardized" and compared. Given the interdisciplinary nature of the topics and a moderate prerequisite for the reader, this book should be of interest to a broad audience of quantitative researchers such as computational biologists, computer scientists, econometricians, engineers, probabilists, and statisticians. It can also be used as a textbook for a graduate-level course on Monte Carlo methods.

Contents

Introduction and examples.- Basic principlesothers.- Theory of sequential Monte Carlo.- Sequential Monte Carlo in action.- Metropolis algorithm and beyond.- The Gibbs sampler.- Cluster algorithms for the Ising model.- General conditional sampling.- Molecular dynamics and hybrid Monte Carlo.- Multilevel sampling and optimization methods.- Population-based Monte Carlo methods.- Markov chains and their convergence.- Selected theoretical topics.