Essentials of Monte Carlo Simulation: Statistical Methods for Building Simulation Models

✍ Scribed by Nick T. Thomopoulos (auth.)

• Publisher: Springer-Verlag New York
• Year: 2013
• Tongue: English
• Leaves: 183
• Edition: 1
• Category: Library

✦ Synopsis

Essentials of Monte Carlo Simulation focuses on the fundamentals of Monte Carlo methods using basic computer simulation techniques. The theories presented in this text deal with systems that are too complex to solve analytically. As a result, readers are given a system of interest and constructs using computer code, as well as algorithmic models to emulate how the system works internally. After the models are run several times, in a random sample way, the data for each output variable(s) of interest is analyzed by ordinary statistical methods. This book features 11 comprehensive chapters, and discusses such key topics as random number generators, multivariate random variates, and continuous random variates. Over 100 numerical examples are presented as part of the appendix to illustrate useful real world applications. The text also contains an easy to read presentation with minimal use of difficult mathematical concepts. Very little has been published in the area of computer Monte Carlo simulation methods, and this book will appeal to students and researchers in the fields of Mathematics and Statistics.

✦ Table of Contents

Front Matter....Pages i-xviii
Introduction....Pages 1-7
Random Number Generators....Pages 9-14
Generating Random Variates....Pages 15-26
Generating Continuous Random Variates....Pages 27-44
Generating Discrete Random Variates....Pages 45-55
Generating Multivariate Random Variates....Pages 57-70
Special Applications....Pages 71-78
Output from Simulation Runs....Pages 79-90
Analysis of Output Data....Pages 91-112
Choosing the Probability Distribution from Data....Pages 113-135
Choosing the Probability Distribution When No Data....Pages 137-145
Back Matter....Pages 147-171

✦ Subjects

Statistical Theory and Methods; Statistics and Computing/Statistics Programs; Statistics, general