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This volume presents a comprehensive first course in the Monte
Carlo method which will be suitable for graduate and undergraduate
students in the mathematical sciences and engineering, principally
operations research, statistics, mathematics, and computer science.
The reader is assumed to have a sound understanding of calculus,
introductory matrix analysis, probability, and intermediate
statistics, but otherwise the book is self-contained. As well as a
thorough exploration of the important concepts of the Monte Carlo
method, the volume includes over 90 algorithms which allow the
reader to move rapidly from the concepts to putting them into
practice. The book also contains numerous exercises, many of them
hands-on implementations of selected algoriths to demonstrate the
application of these ideas in realistic settings. Software, freely
available via ftp and portable across computing platforms, provides
programs for pseudorandom number generation and statistical sample
path data analysis. The software is suitable for use with the
exercises as well as for more general applications. For
professional mathematical scientists and engineers this book
provides a ready reference to the Monte Carlo method, especially to
implementable algoritzms for performing sampling experiments on a
computer and for analyzing their results.
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