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Books > Computing & IT > General theory of computing > Data structures
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Strategies for Quasi-Monte Carlo (Hardcover, 1999 ed.)
Loot Price: R4,585
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Strategies for Quasi-Monte Carlo (Hardcover, 1999 ed.)
Series: International Series in Operations Research & Management Science, 22
Expected to ship within 10 - 15 working days
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Strategies for Quasi-Monte Carlo builds a framework to design and
analyze strategies for randomized quasi-Monte Carlo (RQMC). One key
to efficient simulation using RQMC is to structure problems to
reveal a small set of important variables, their number being the
effective dimension, while the other variables collectively are
relatively insignificant. Another is smoothing. The book provides
many illustrations of both keys, in particular for problems
involving Poisson processes or Gaussian processes. RQMC beats grids
by a huge margin. With low effective dimension, RQMC is an
order-of-magnitude more efficient than standard Monte Carlo. With,
in addition, certain smoothness - perhaps induced - RQMC is an
order-of-magnitude more efficient than deterministic QMC. Unlike
the latter, RQMC permits error estimation via the central limit
theorem. For random-dimensional problems, such as occur with
discrete-event simulation, RQMC gets judiciously combined with
standard Monte Carlo to keep memory requirements bounded. This
monograph has been designed to appeal to a diverse audience,
including those with applications in queueing, operations research,
computational finance, mathematical programming, partial
differential equations (both deterministic and stochastic), and
particle transport, as well as to probabilists and statisticians
wanting to know how to apply effectively a powerful tool, and to
those interested in numerical integration or optimization in their
own right. It recognizes that the heart of practical application is
algorithms, so pseudocodes appear throughout the book. While not
primarily a textbook, it is suitable as a supplementary text for
certain graduate courses. As a reference, it belongs on the shelf
of everyone with a serious interest in improving simulation
efficiency. Moreover, it will be a valuable reference to all those
individuals interested in improving simulation efficiency with more
than incremental increases.
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