Stochastic Simulation: Algorithms and Analysis

Stochastic Simulation: Algorithms and Analysis PDF Author: Søren Asmussen
Publisher: Springer Science & Business Media
ISBN: 0387690336
Category : Mathematics
Languages : en
Pages : 490

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Book Description
Sampling-based computational methods have become a fundamental part of the numerical toolset of practitioners and researchers across an enormous number of different applied domains and academic disciplines. This book provides a broad treatment of such sampling-based methods, as well as accompanying mathematical analysis of the convergence properties of the methods discussed. The reach of the ideas is illustrated by discussing a wide range of applications and the models that have found wide usage. The first half of the book focuses on general methods; the second half discusses model-specific algorithms. Exercises and illustrations are included.

Stochastic Simulation: Algorithms and Analysis

Stochastic Simulation: Algorithms and Analysis PDF Author: Søren Asmussen
Publisher: Springer Science & Business Media
ISBN: 0387690336
Category : Mathematics
Languages : en
Pages : 490

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Book Description
Sampling-based computational methods have become a fundamental part of the numerical toolset of practitioners and researchers across an enormous number of different applied domains and academic disciplines. This book provides a broad treatment of such sampling-based methods, as well as accompanying mathematical analysis of the convergence properties of the methods discussed. The reach of the ideas is illustrated by discussing a wide range of applications and the models that have found wide usage. The first half of the book focuses on general methods; the second half discusses model-specific algorithms. Exercises and illustrations are included.

Stochastic Modeling

Stochastic Modeling PDF Author: Barry L. Nelson
Publisher: Courier Corporation
ISBN: 0486139948
Category : Mathematics
Languages : en
Pages : 338

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Book Description
Coherent introduction to techniques also offers a guide to the mathematical, numerical, and simulation tools of systems analysis. Includes formulation of models, analysis, and interpretation of results. 1995 edition.

Stochastic Simulation and Monte Carlo Methods

Stochastic Simulation and Monte Carlo Methods PDF Author: Carl Graham
Publisher: Springer Science & Business Media
ISBN: 3642393632
Category : Mathematics
Languages : en
Pages : 264

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Book Description
In various scientific and industrial fields, stochastic simulations are taking on a new importance. This is due to the increasing power of computers and practitioners’ aim to simulate more and more complex systems, and thus use random parameters as well as random noises to model the parametric uncertainties and the lack of knowledge on the physics of these systems. The error analysis of these computations is a highly complex mathematical undertaking. Approaching these issues, the authors present stochastic numerical methods and prove accurate convergence rate estimates in terms of their numerical parameters (number of simulations, time discretization steps). As a result, the book is a self-contained and rigorous study of the numerical methods within a theoretical framework. After briefly reviewing the basics, the authors first introduce fundamental notions in stochastic calculus and continuous-time martingale theory, then develop the analysis of pure-jump Markov processes, Poisson processes, and stochastic differential equations. In particular, they review the essential properties of Itô integrals and prove fundamental results on the probabilistic analysis of parabolic partial differential equations. These results in turn provide the basis for developing stochastic numerical methods, both from an algorithmic and theoretical point of view. The book combines advanced mathematical tools, theoretical analysis of stochastic numerical methods, and practical issues at a high level, so as to provide optimal results on the accuracy of Monte Carlo simulations of stochastic processes. It is intended for master and Ph.D. students in the field of stochastic processes and their numerical applications, as well as for physicists, biologists, economists and other professionals working with stochastic simulations, who will benefit from the ability to reliably estimate and control the accuracy of their simulations.

Introduction to Matrix Analytic Methods in Stochastic Modeling

Introduction to Matrix Analytic Methods in Stochastic Modeling PDF Author: G. Latouche
Publisher: SIAM
ISBN: 0898714257
Category : Mathematics
Languages : en
Pages : 331

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Book Description
Presents the basic mathematical ideas and algorithms of the matrix analytic theory in a readable, up-to-date, and comprehensive manner.

Foundations and Methods of Stochastic Simulation

Foundations and Methods of Stochastic Simulation PDF Author: Barry Nelson
Publisher: Springer Science & Business Media
ISBN: 146146160X
Category : Business & Economics
Languages : en
Pages : 285

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Book Description
This graduate-level text covers modeling, programming and analysis of simulation experiments and provides a rigorous treatment of the foundations of simulation and why it works. It introduces object-oriented programming for simulation, covers both the probabilistic and statistical basis for simulation in a rigorous but accessible manner (providing all necessary background material); and provides a modern treatment of experiment design and analysis that goes beyond classical statistics. The book emphasizes essential foundations throughout, rather than providing a compendium of algorithms and theorems and prepares the reader to use simulation in research as well as practice. The book is a rigorous, but concise treatment, emphasizing lasting principles but also providing specific training in modeling, programming and analysis. In addition to teaching readers how to do simulation, it also prepares them to use simulation in their research; no other book does this. An online solutions manual for end of chapter exercises is also provided.​

An Introduction to Stochastic Modeling

An Introduction to Stochastic Modeling PDF Author: Howard M. Taylor
Publisher: Academic Press
ISBN: 1483269272
Category : Mathematics
Languages : en
Pages : 410

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Book Description
An Introduction to Stochastic Modeling provides information pertinent to the standard concepts and methods of stochastic modeling. This book presents the rich diversity of applications of stochastic processes in the sciences. Organized into nine chapters, this book begins with an overview of diverse types of stochastic models, which predicts a set of possible outcomes weighed by their likelihoods or probabilities. This text then provides exercises in the applications of simple stochastic analysis to appropriate problems. Other chapters consider the study of general functions of independent, identically distributed, nonnegative random variables representing the successive intervals between renewals. This book discusses as well the numerous examples of Markov branching processes that arise naturally in various scientific disciplines. The final chapter deals with queueing models, which aid the design process by predicting system performance. This book is a valuable resource for students of engineering and management science. Engineers will also find this book useful.

Simulation Algorithms for Computational Systems Biology

Simulation Algorithms for Computational Systems Biology PDF Author: Luca Marchetti
Publisher: Springer
ISBN: 3319631136
Category : Computers
Languages : en
Pages : 245

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Book Description
This book explains the state-of-the-art algorithms used to simulate biological dynamics. Each technique is theoretically introduced and applied to a set of modeling cases. Starting from basic simulation algorithms, the book also introduces more advanced techniques that support delays, diffusion in space, or that are based on hybrid simulation strategies. This is a valuable self-contained resource for graduate students and practitioners in computer science, biology and bioinformatics. An appendix covers the mathematical background, and the authors include further reading sections in each chapter.

Stochastic Modelling of Reaction–Diffusion Processes

Stochastic Modelling of Reaction–Diffusion Processes PDF Author: Radek Erban
Publisher: Cambridge University Press
ISBN: 1108572995
Category : Mathematics
Languages : en
Pages : 322

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Book Description
This practical introduction to stochastic reaction-diffusion modelling is based on courses taught at the University of Oxford. The authors discuss the essence of mathematical methods which appear (under different names) in a number of interdisciplinary scientific fields bridging mathematics and computations with biology and chemistry. The book can be used both for self-study and as a supporting text for advanced undergraduate or beginning graduate-level courses in applied mathematics. New mathematical approaches are explained using simple examples of biological models, which range in size from simulations of small biomolecules to groups of animals. The book starts with stochastic modelling of chemical reactions, introducing stochastic simulation algorithms and mathematical methods for analysis of stochastic models. Different stochastic spatio-temporal models are then studied, including models of diffusion and stochastic reaction-diffusion modelling. The methods covered include molecular dynamics, Brownian dynamics, velocity jump processes and compartment-based (lattice-based) models.

Stochastic Simulation

Stochastic Simulation PDF Author: Brian D. Ripley
Publisher: John Wiley & Sons
ISBN: 0470317388
Category : Mathematics
Languages : en
Pages : 258

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Book Description
WILEY-INTERSCIENCE PAPERBACK SERIES The Wiley-Interscience Paperback Series consists of selected books that have been made more accessible to consumers in an effort to increase global appeal and general circulation. With these new unabridged softcover volumes, Wiley hopes to extend the lives of these works by making them available to future generations of statisticians, mathematicians, and scientists. ". . .this is a very competently written and useful addition to the statistical literature; a book every statistician should look at and that many should study!" —Short Book Reviews, International Statistical Institute ". . .reading this book was an enjoyable learning experience. The suggestions and recommendations on the methods [make] this book an excellent reference for anyone interested in simulation. With its compact structure and good coverage of material, it [is] an excellent textbook for a simulation course." —Technometrics ". . .this work is an excellent comprehensive guide to simulation methods, written by a very competent author. It is especially recommended for those users of simulation methods who want more than a 'cook book'. " —Mathematics Abstracts This book is a comprehensive guide to simulation methods with explicit recommendations of methods and algorithms. It covers both the technical aspects of the subject, such as the generation of random numbers, non-uniform random variates and stochastic processes, and the use of simulation. Supported by the relevant mathematical theory, the text contains a great deal of unpublished research material, including coverage of the analysis of shift-register generators, sensitivity analysis of normal variate generators, analysis of simulation output, and more.

Stochastic Discrete Event Systems

Stochastic Discrete Event Systems PDF Author: Armin Zimmermann
Publisher: Springer Science & Business Media
ISBN: 3540741739
Category : Computers
Languages : en
Pages : 393

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Book Description
Stochastic discrete-event systems (SDES) capture the randomness in choices due to activity delays and the probabilities of decisions. This book delivers a comprehensive overview on modeling with a quantitative evaluation of SDES. It presents an abstract model class for SDES as a pivotal unifying result and details important model classes. The book also includes nontrivial examples to explain real-world applications of SDES.