Abstract
As explained in §1.1, direct simulation of a probabilistic problem is the simplest form of the Monte Carlo method. It possesses little theoretical interest and so will not occupy us much in this book, but it remains one of the principal forms of Monte Carlo practice because it arises so often in various operational research problems, characterized by a fairly simple general structure overlaid with a mass of small and rather particular details. These problems are beyond the reach of general theory on account of the details, but often are easily simulated and such improvements as might be made by more sophisticated Monte Carlo refinements are rarely worth the effort of their devising. We shall give a few typical examples below. We also make one or two remarks on the rather different use of direct simulation to fortify or quantify qualitative mathematical theories.
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© 1964 J. M. Hammersley and D. C. Handscomb
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Hammersley, J.M., Handscomb, D.C. (1964). Direct Simulation. In: Monte Carlo Methods. Monographs on Applied Probability and Statistics. Springer, Dordrecht. https://doi.org/10.1007/978-94-009-5819-7_4
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DOI: https://doi.org/10.1007/978-94-009-5819-7_4
Publisher Name: Springer, Dordrecht
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