APPROXIMATING INTEGRALS VIA MONTE CARLO AND DETERMINISTIC METHODS

Le Monde En Tique

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Ouvrage 9780198502784 : APPROXIMATING INTEGRALS VIA MONTE CARLO AND DETERMINISTIC METHODS
This book is designed to introduce graduate students and researchers to the primary methods useful for approximating integrals. The emphasis is on those methods that have been found to be of practical use, and although the focus is on approximating higher-dimensional integrals the lower-dimensional case is also covered. This book covers all the most useful approximation techniques so far discovered; the first time that all such techniques have been included in a single book and at a level accessible for students. In particular, it includes a complete development of the material needed to construct the highly popular Markov Chain Monte Carlo (MCMC) methods.
Readership: Graduate students and researchers in numerate disciplines who need an overview of integral approximation, including statistics, mathematical finance, computer science, engineering.
Contents/contributors
* 1 Introduction
* 2 Some basic tools
* 3 Algorithms for sampling from distributions
* 4 Approximating integrals via asymptotics
* 5 Multiple quadrature
* 6 Importance sampling
* 7 Markov Chain methods


Auteur : EVANS
Editeur : OXFORD
Nombre de pages : 298
Date de publication : 03 2000

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