Explorations in Monte Carlo Methods

  • Ronald W. Shonkwiler
  • Franklin Mendivil
Part of the Undergraduate Texts in Mathematics book series (UTM)

Table of contents

  1. Front Matter
    Pages 1-11
  2. Ronald W. Shonkwiler, Franklin Mendivil
    Pages 1-49
  3. Ronald W. Shonkwiler, Franklin Mendivil
    Pages 51-100
  4. Ronald W. Shonkwiler, Franklin Mendivil
    Pages 101-138
  5. Ronald W. Shonkwiler, Franklin Mendivil
    Pages 139-163
  6. Ronald W. Shonkwiler, Franklin Mendivil
    Pages 165-212
  7. Back Matter
    Pages 1-27

About this book

Introduction

Monte Carlo methods are among the most used and useful computational tools available today, providing efficient and practical algorithims to solve a wide range of scientific and engineering problems. Applications covered in this book include optimization, finance, statistical mechanics, birth and death processes, and gambling systems.

Explorations in Monte Carlo Methods provides a hands-on approach to learning this subject. Each new idea is carefully motivated by a realistic problem, thus leading from questions to theory via examples and numerical simulations. Programming exercises are integrated throughout the text as the primary vehicle for learning the material. Each chapter ends with a large collection of problems illustrating and directing the material.

This book is suitable as a textbook for students of engineering and the sciences, as well as mathematics. The problem-oriented approach makes it ideal for an applied course in basic probability and for a more specialized course in Monte Carlo methods. Topics include probability distributions, counting combinatorial objects, simulated annealing, genetic algorithms, option pricing, gamblers ruin, statistical mechanics, sampling, and random number generation.

Keywords

Markov chain Markov chain Monte Carlo Matlab Monte Carlo Monte Carlo method Probability distribution algorithims algorithms genetic algorithms optimization probability random number generator random walk simulation stochastic processes

Authors and affiliations

  • Ronald W. Shonkwiler
    • 1
  • Franklin Mendivil
    • 2
  1. 1.School of MathematicsGeorgia Institute of TechnologyAtlantaUSA
  2. 2.Dept. MathematicsAcadia UniversityWolfvilleCanada

Bibliographic information

  • DOI https://doi.org/10.1007/978-0-387-87837-9
  • Copyright Information Springer Science+Business Media, LLC 2009
  • Publisher Name Springer, New York, NY
  • eBook Packages Mathematics and Statistics
  • Print ISBN 978-0-387-87836-2
  • Online ISBN 978-0-387-87837-9
  • Series Print ISSN 0172-6056
  • About this book