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Mean Field Simulation for Monte Carlo Integration (Hardcover, New)
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Mean Field Simulation for Monte Carlo Integration (Hardcover, New)
Series: Chapman & Hall/CRC Monographs on Statistics and Applied Probability
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Total price: R4,348
Discovery Miles: 43 480
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In the last three decades, there has been a dramatic increase in
the use of interacting particle methods as a powerful tool in
real-world applications of Monte Carlo simulation in computational
physics, population biology, computer sciences, and statistical
machine learning. Ideally suited to parallel and distributed
computation, these advanced particle algorithms include nonlinear
interacting jump diffusions; quantum, diffusion, and resampled
Monte Carlo methods; Feynman-Kac particle models; genetic and
evolutionary algorithms; sequential Monte Carlo methods; adaptive
and interacting Markov chain Monte Carlo models; bootstrapping
methods; ensemble Kalman filters; and interacting particle filters.
Mean Field Simulation for Monte Carlo Integration presents the
first comprehensive and modern mathematical treatment of mean field
particle simulation models and interdisciplinary research topics,
including interacting jumps and McKean-Vlasov processes, sequential
Monte Carlo methodologies, genetic particle algorithms,
genealogical tree-based algorithms, and quantum and diffusion Monte
Carlo methods. Along with covering refined convergence analysis on
nonlinear Markov chain models, the author discusses applications
related to parameter estimation in hidden Markov chain models,
stochastic optimization, nonlinear filtering and multiple target
tracking, stochastic optimization, calibration and uncertainty
propagations in numerical codes, rare event simulation, financial
mathematics, and free energy and quasi-invariant measures arising
in computational physics and population biology. This book shows
how mean field particle simulation has revolutionized the field of
Monte Carlo integration and stochastic algorithms. It will help
theoretical probability researchers, applied statisticians,
biologists, statistical physicists, and computer scientists work
better across their own disciplinary boundaries.
General
Imprint: |
Crc Press
|
Country of origin: |
United States |
Series: |
Chapman & Hall/CRC Monographs on Statistics and Applied Probability |
Release date: |
May 2013 |
First published: |
2013 |
Authors: |
Pierre Del Moral
|
Dimensions: |
234 x 156 x 33mm (L x W x T) |
Format: |
Hardcover
|
Pages: |
626 |
Edition: |
New |
ISBN-13: |
978-1-4665-0405-9 |
Categories: |
Books >
Science & Mathematics >
Mathematics >
Probability & statistics
|
LSN: |
1-4665-0405-6 |
Barcode: |
9781466504059 |
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