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Conditional Monte Carlo - Gradient Estimation and Optimization Applications (Hardcover, 1997 ed.)
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Conditional Monte Carlo - Gradient Estimation and Optimization Applications (Hardcover, 1997 ed.)
Series: The Springer International Series in Engineering and Computer Science, 392
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Conditional Monte Carlo: Gradient Estimation and Optimization
Applications deals with various gradient estimation techniques of
perturbation analysis based on the use of conditional expectation.
The primary setting is discrete-event stochastic simulation. This
book presents applications to queueing and inventory, and to other
diverse areas such as financial derivatives, pricing and
statistical quality control. To researchers already in the area,
this book offers a unified perspective and adequately summarizes
the state of the art. To researchers new to the area, this book
offers a more systematic and accessible means of understanding the
techniques without having to scour through the immense literature
and learn a new set of notation with each paper. To practitioners,
this book provides a number of diverse application areas that makes
the intuition accessible without having to fully commit to
understanding all the theoretical niceties. In sum, the objectives
of this monograph are two-fold: to bring together many of the
interesting developments in perturbation analysis based on
conditioning under a more unified framework, and to illustrate the
diversity of applications to which these techniques can be applied.
Conditional Monte Carlo: Gradient Estimation and Optimization
Applications is suitable as a secondary text for graduate level
courses on stochastic simulations, and as a reference for
researchers and practitioners in industry.
General
Imprint: |
Springer
|
Country of origin: |
Netherlands |
Series: |
The Springer International Series in Engineering and Computer Science, 392 |
Release date: |
2001 |
First published: |
1997 |
Authors: |
Michael C. Fu
• Jian-Qiang Hu
|
Dimensions: |
235 x 155 x 23mm (L x W x T) |
Format: |
Hardcover
|
Pages: |
399 |
Edition: |
1997 ed. |
ISBN-13: |
978-0-7923-9873-8 |
Categories: |
Books >
Science & Mathematics >
Mathematics >
Probability & statistics
|
LSN: |
0-7923-9873-4 |
Barcode: |
9780792398738 |
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