Automatic Nonuniform Random Variate Generation

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Automatic Nonuniform Random Variate Generation

Wolfgang Hörmann,Josef Leydold,Gerhard Derflinger
Automatic Nonuniform Random Variate Generation Book PDF

Author : Wolfgang Hörmann,Josef Leydold,Gerhard Derflinger
Publisher : Springer Science & Business Media
Page : 439 pages
File Size : 55,9 Mb
Release : 2013-06-29
Category : Mathematics
ISBN : 9783662059463

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Automatic Nonuniform Random Variate Generation by Wolfgang Hörmann,Josef Leydold,Gerhard Derflinger Pdf

The recent concept of universal (also called automatic or black-box) random variate generation can only be found dispersed in the literature. Being unique in its overall organization, the book covers not only the mathematical and statistical theory but also deals with the implementation of such methods. All algorithms introduced in the book are designed for practical use in simulation and have been coded and made available by the authors. Examples of possible applications of the presented algorithms (including option pricing, VaR and Bayesian statistics) are presented at the end of the book.

Non-Uniform Random Variate Generation

Luc Devroye
Non Uniform Random Variate Generation Book PDF

Author : Luc Devroye
Publisher : Springer Science & Business Media
Page : 859 pages
File Size : 42,6 Mb
Release : 2013-11-22
Category : Mathematics
ISBN : 9781461386438

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Non-Uniform Random Variate Generation by Luc Devroye Pdf

Thls text ls about one small fteld on the crossroads of statlstlcs, operatlons research and computer sclence. Statistleians need random number generators to test and compare estlmators before uslng them ln real l fe. In operatlons research, random numbers are a key component ln arge scale slmulatlons. Computer sclen tlsts need randomness ln program testlng, game playlng and comparlsons of algo rlthms. The appl catlons are wlde and varled. Yet all depend upon the same com puter generated random numbers. Usually, the randomness demanded by an appl catlon has some bullt-ln structure: typlcally, one needs more than just a sequence of Independent random blts or Independent uniform 0,1] random vari ables. Some users need random variables wlth unusual densltles, or random com blnatorlal objects wlth speclftc propertles, or random geometrlc objects, or ran dom processes wlth weil deftned dependence structures. Thls ls preclsely the sub ject area of the book, the study of non-uniform random varlates. The plot evolves around the expected complexlty of random varlate genera tlon algorlthms. We set up an ldeal zed computatlonal model (wlthout overdolng lt), we lntroduce the notlon of unlformly bounded expected complexlty, and we study upper and lower bounds for computatlonal complexlty. In short, a touch of computer sclence ls added to the fteld. To keep everythlng abstract, no tlmlngs or computer programs are lncluded. Thls was a Iabor of Iove. George Marsagl a created CS690, a course on ran dom number generat on at the School of Computer Sclence of McG ll Unlverslty."

Handbook of Computational Statistics

James E. Gentle,Wolfgang Karl Härdle,Yuichi Mori
Handbook of Computational Statistics Book PDF

Author : James E. Gentle,Wolfgang Karl Härdle,Yuichi Mori
Publisher : Springer
Page : 0 pages
File Size : 43,9 Mb
Release : 2017-05-04
Category : Computers
ISBN : 3662517655

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Handbook of Computational Statistics by James E. Gentle,Wolfgang Karl Härdle,Yuichi Mori Pdf

The Handbook of Computational Statistics - Concepts and Methods (second edition) is a revision of the first edition published in 2004, and contains additional comments and updated information on the existing chapters, as well as three new chapters addressing recent work in the field of computational statistics. This new edition is divided into 4 parts in the same way as the first edition. It begins with "How Computational Statistics became the backbone of modern data science" (Ch.1): an overview of the field of Computational Statistics, how it emerged as a separate discipline, and how its own development mirrored that of hardware and software, including a discussion of current active research. The second part (Chs. 2 - 15) presents several topics in the supporting field of statistical computing. Emphasis is placed on the need for fast and accurate numerical algorithms, and some of the basic methodologies for transformation, database handling, high-dimensional data and graphics treatment are discussed. The third part (Chs. 16 - 33) focuses on statistical methodology. Special attention is given to smoothing, iterative procedures, simulation and visualization of multivariate data. Lastly, a set of selected applications (Chs. 34 - 38) like Bioinformatics, Medical Imaging, Finance, Econometrics and Network Intrusion Detection highlight the usefulness of computational statistics in real-world applications.

Proceedings of COMPSTAT'2010

Yves Lechevallier,Gilbert Saporta
Proceedings of COMPSTAT 2010 Book PDF

Author : Yves Lechevallier,Gilbert Saporta
Publisher : Springer Science & Business Media
Page : 627 pages
File Size : 53,9 Mb
Release : 2010-11-08
Category : Computers
ISBN : 9783790826043

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Proceedings of COMPSTAT'2010 by Yves Lechevallier,Gilbert Saporta Pdf

Proceedings of the 19th international symposium on computational statistics, held in Paris august 22-27, 2010.Together with 3 keynote talks, there were 14 invited sessions and more than 100 peer-reviewed contributed communications.

Advances in Modeling and Simulation

Zdravko Botev,Alexander Keller,Christiane Lemieux,Bruno Tuffin
Advances in Modeling and Simulation Book PDF

Author : Zdravko Botev,Alexander Keller,Christiane Lemieux,Bruno Tuffin
Publisher : Springer Nature
Page : 426 pages
File Size : 41,6 Mb
Release : 2022-11-30
Category : Mathematics
ISBN : 9783031101939

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Advances in Modeling and Simulation by Zdravko Botev,Alexander Keller,Christiane Lemieux,Bruno Tuffin Pdf

This book celebrates the career of Pierre L’Ecuyer on the occasion of his 70th birthday. Pierre has made significant contributions to the fields of simulation, modeling, and operations research over the last 40 years. This book contains 20 chapters written by collaborators and experts in the field who, by sharing their latest results, want to recognize the lasting impact of Pierre’s work in their research area. The breadth of the topics covered reflects the remarkable versatility of Pierre's contributions, from deep theoretical results to practical and industry-ready applications. The Festschrift features article from the domains of Monte Carlo and quasi-Monte Carlo methods, Markov chains, sampling and low discrepancy sequences, simulation, rare events, graphics, finance, machine learning, stochastic processes, and tractability.

Handbooks in Operations Research and Management Science: Simulation

Shane G. Henderson,Barry L. Nelson
Handbooks in Operations Research and Management Science Simulation Book PDF

Author : Shane G. Henderson,Barry L. Nelson
Publisher : Elsevier
Page : 692 pages
File Size : 46,5 Mb
Release : 2006-09-02
Category : Business & Economics
ISBN : 0080464769

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Handbooks in Operations Research and Management Science: Simulation by Shane G. Henderson,Barry L. Nelson Pdf

This Handbook is a collection of chapters on key issues in the design and analysis of computer simulation experiments on models of stochastic systems. The chapters are tightly focused and written by experts in each area. For the purpose of this volume “simulation refers to the analysis of stochastic processes through the generation of sample paths (realization) of the processes. Attention focuses on design and analysis issues and the goal of this volume is to survey the concepts, principles, tools and techniques that underlie the theory and practice of stochastic simulation design and analysis. Emphasis is placed on the ideas and methods that are likely to remain an intrinsic part of the foundation of the field for the foreseeable future. The chapters provide up-to-date references for both the simulation researcher and the advanced simulation user, but they do not constitute an introductory level ‘how to’ guide. Computer scientists, financial analysts, industrial engineers, management scientists, operations researchers and many other professionals use stochastic simulation to design, understand and improve communications, financial, manufacturing, logistics, and service systems. A theme that runs throughout these diverse applications is the need to evaluate system performance in the face of uncertainty, including uncertainty in user load, interest rates, demand for product, availability of goods, cost of transportation and equipment failures. * Tightly focused chapters written by experts * Surveys concepts, principles, tools, and techniques that underlie the theory and practice of stochastic simulation design and analysis * Provides an up-to-date reference for both simulation researchers and advanced simulation users

Algorithms and Computation

Leizhen Cai,Siu-Wing Cheng,Tak-Wah Lam
Algorithms and Computation Book PDF

Author : Leizhen Cai,Siu-Wing Cheng,Tak-Wah Lam
Publisher : Springer
Page : 761 pages
File Size : 46,5 Mb
Release : 2013-12-12
Category : Computers
ISBN : 9783642450303

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Algorithms and Computation by Leizhen Cai,Siu-Wing Cheng,Tak-Wah Lam Pdf

This book constitutes the refereed proceedings of the 24th International Symposium on Algorithms and Computation, ISAAC 2013, held in Hong Kong, China in December 2013. The 67 revised full papers presented together with 2 invited talks were carefully reviewed and selected from 177 submissions for inclusion in the book. The focus of the volume in on the following topics: computation geometry, pattern matching, computational complexity, internet and social network algorithms, graph theory and algorithms, scheduling algorithms, fixed-parameter tractable algorithms, algorithms and data structures, algorithmic game theory, approximation algorithms and network algorithms.

Independent Random Sampling Methods

Luca Martino,David Luengo,Joaquín Míguez
Independent Random Sampling Methods Book PDF

Author : Luca Martino,David Luengo,Joaquín Míguez
Publisher : Springer
Page : 280 pages
File Size : 46,6 Mb
Release : 2018-03-31
Category : Computers
ISBN : 9783319726342

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Independent Random Sampling Methods by Luca Martino,David Luengo,Joaquín Míguez Pdf

This book systematically addresses the design and analysis of efficient techniques for independent random sampling. Both general-purpose approaches, which can be used to generate samples from arbitrary probability distributions, and tailored techniques, designed to efficiently address common real-world practical problems, are introduced and discussed in detail. In turn, the monograph presents fundamental results and methodologies in the field, elaborating and developing them into the latest techniques. The theory and methods are illustrated with a varied collection of examples, which are discussed in detail in the text and supplemented with ready-to-run computer code. The main problem addressed in the book is how to generate independent random samples from an arbitrary probability distribution with the weakest possible constraints or assumptions in a form suitable for practical implementation. The authors review the fundamental results and methods in the field, address the latest methods, and emphasize the links and interplay between ostensibly diverse techniques.

Discrete Choice Methods with Simulation

Kenneth Train
Discrete Choice Methods with Simulation Book PDF

Author : Kenneth Train
Publisher : Cambridge University Press
Page : 399 pages
File Size : 48,6 Mb
Release : 2009-07-06
Category : Business & Economics
ISBN : 9780521766555

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Discrete Choice Methods with Simulation by Kenneth Train Pdf

This book describes the new generation of discrete choice methods, focusing on the many advances that are made possible by simulation. Researchers use these statistical methods to examine the choices that consumers, households, firms, and other agents make. Each of the major models is covered: logit, generalized extreme value, or GEV (including nested and cross-nested logits), probit, and mixed logit, plus a variety of specifications that build on these basics. Simulation-assisted estimation procedures are investigated and compared, including maximum stimulated likelihood, method of simulated moments, and method of simulated scores. Procedures for drawing from densities are described, including variance reduction techniques such as anithetics and Halton draws. Recent advances in Bayesian procedures are explored, including the use of the Metropolis-Hastings algorithm and its variant Gibbs sampling. The second edition adds chapters on endogeneity and expectation-maximization (EM) algorithms. No other book incorporates all these fields, which have arisen in the past 25 years. The procedures are applicable in many fields, including energy, transportation, environmental studies, health, labor, and marketing.

Handbook of Computational Statistics

James E. Gentle,Wolfgang Karl Härdle,Yuichi Mori
Handbook of Computational Statistics Book PDF

Author : James E. Gentle,Wolfgang Karl Härdle,Yuichi Mori
Publisher : Springer Science & Business Media
Page : 1180 pages
File Size : 46,7 Mb
Release : 2012-07-06
Category : Computers
ISBN : 9783642215513

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Handbook of Computational Statistics by James E. Gentle,Wolfgang Karl Härdle,Yuichi Mori Pdf

The Handbook of Computational Statistics - Concepts and Methods (second edition) is a revision of the first edition published in 2004, and contains additional comments and updated information on the existing chapters, as well as three new chapters addressing recent work in the field of computational statistics. This new edition is divided into 4 parts in the same way as the first edition. It begins with "How Computational Statistics became the backbone of modern data science" (Ch.1): an overview of the field of Computational Statistics, how it emerged as a separate discipline, and how its own development mirrored that of hardware and software, including a discussion of current active research. The second part (Chs. 2 - 15) presents several topics in the supporting field of statistical computing. Emphasis is placed on the need for fast and accurate numerical algorithms, and some of the basic methodologies for transformation, database handling, high-dimensional data and graphics treatment are discussed. The third part (Chs. 16 - 33) focuses on statistical methodology. Special attention is given to smoothing, iterative procedures, simulation and visualization of multivariate data. Lastly, a set of selected applications (Chs. 34 - 38) like Bioinformatics, Medical Imaging, Finance, Econometrics and Network Intrusion Detection highlight the usefulness of computational statistics in real-world applications.

A Guide to Simulation

P. Bratley,B. L. Fox,L. E. Schrage
A Guide to Simulation Book PDF

Author : P. Bratley,B. L. Fox,L. E. Schrage
Publisher : Springer Science & Business Media
Page : 399 pages
File Size : 40,5 Mb
Release : 2012-12-06
Category : Science
ISBN : 9781468401677

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A Guide to Simulation by P. Bratley,B. L. Fox,L. E. Schrage Pdf

Simulation means driving a model of a system with suitable inputs and observing the corresponding outputs. It is widely applied in engineering, in business, and in the physical and social sciences. Simulation method ology araws on computer. science, statistics, and operations research and is now sufficiently developed and coherent to be called a discipline in its own right. A course in simulation is an essential part of any operations re search or computer science program. A large fraction of applied work in these fields involves simulation; the techniques of simulation, as tools, are as fundamental as those of linear programming or compiler construction, for example. Simulation sometimes appears deceptively easy, but perusal of this book will reveal unexpected depths. Many simulation studies are statistically defective and many simulation programs are inefficient. We hope that our book will help to remedy this situation. It is intended to teach how to simulate effectively. A simulation project has three crucial components, each of which must always be tackled: (1) data gathering, model building, and validation; (2) statistical design and estimation; (3) programming and implementation. Generation of random numbers (Chapters 5 and 6) pervades simulation, but unlike the three components above, random number generators need not be constructed from scratch for each project. Usually random number packages are available. That is one reason why the chapters on random numbers, which contain mainly reference material, follow the ch!lPters deal ing with experimental design and output analysis.

Systems Modeling: Methodologies and Tools

Antonio Puliafito,Kishor S. Trivedi
Systems Modeling Methodologies and Tools Book PDF

Author : Antonio Puliafito,Kishor S. Trivedi
Publisher : Springer
Page : 315 pages
File Size : 42,7 Mb
Release : 2018-10-16
Category : Technology & Engineering
ISBN : 9783319923789

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Systems Modeling: Methodologies and Tools by Antonio Puliafito,Kishor S. Trivedi Pdf

This book covers ideas, methods, algorithms, and tools for the in-depth study of the performance and reliability of dependable fault-tolerant systems. The chapters identify the current challenges that designers and practitioners must confront to ensure the reliability, availability, and performance of systems, with special focus on their dynamic behaviors and dependencies. Topics include network calculus, workload and scheduling; simulation, sensitivity analysis and applications; queuing networks analysis; clouds, federations and big data; and tools. This collection of recent research exposes system researchers, performance analysts, and practitioners to a spectrum of issues so that they can address these challenges in their work.

Advances in Parallel & Distributed Processing, and Applications

Hamid R. Arabnia,Leonidas Deligiannidis,Michael R. Grimaila,Douglas D. Hodson,Kazuki Joe,Masakazu Sekijima,Fernando G. Tinetti
Advances in Parallel Distributed Processing and Applications Book PDF

Author : Hamid R. Arabnia,Leonidas Deligiannidis,Michael R. Grimaila,Douglas D. Hodson,Kazuki Joe,Masakazu Sekijima,Fernando G. Tinetti
Publisher : Springer Nature
Page : 1201 pages
File Size : 55,9 Mb
Release : 2021-10-18
Category : Technology & Engineering
ISBN : 9783030699840

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Advances in Parallel & Distributed Processing, and Applications by Hamid R. Arabnia,Leonidas Deligiannidis,Michael R. Grimaila,Douglas D. Hodson,Kazuki Joe,Masakazu Sekijima,Fernando G. Tinetti Pdf

The book presents the proceedings of four conferences: The 26th International Conference on Parallel and Distributed Processing Techniques and Applications (PDPTA'20), The 18th International Conference on Scientific Computing (CSC'20); The 17th International Conference on Modeling, Simulation and Visualization Methods (MSV'20); and The 16th International Conference on Grid, Cloud, and Cluster Computing (GCC'20). The conferences took place in Las Vegas, NV, USA, July 27-30, 2020. The conferences are part of the larger 2020 World Congress in Computer Science, Computer Engineering, & Applied Computing (CSCE'20), which features 20 major tracks. Authors include academics, researchers, professionals, and students. Presents the proceedings of four conferences as part of the 2020 World Congress in Computer Science, Computer Engineering, & Applied Computing (CSCE'20); Includes the research tracks Parallel and Distributed Processing, Scientific Computing, Modeling, Simulation and Visualization, and Grid, Cloud, and Cluster Computing; Features papers from PDPTA’20, CSC’20, MSV’20, and GCC’20.

Simulation Technologies in Networking and Communications

Al-Sakib Khan Pathan,Muhammad Mostafa Monowar,Shafiullah Khan
Simulation Technologies in Networking and Communications Book PDF

Author : Al-Sakib Khan Pathan,Muhammad Mostafa Monowar,Shafiullah Khan
Publisher : CRC Press
Page : 638 pages
File Size : 45,7 Mb
Release : 2014-11-06
Category : Computers
ISBN : 9781482225501

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Simulation Technologies in Networking and Communications by Al-Sakib Khan Pathan,Muhammad Mostafa Monowar,Shafiullah Khan Pdf

Simulation is a widely used mechanism for validating the theoretical models of networking and communication systems. Although the claims made based on simulations are considered to be reliable, how reliable they really are is best determined with real-world implementation trials.Simulation Technologies in Networking and Communications: Selecting th

Handbook of Computational Statistics

Yuichi Mori
Handbook of Computational Statistics Book PDF

Author : Yuichi Mori
Publisher : Springer Science & Business Media
Page : 1096 pages
File Size : 45,9 Mb
Release : 2004-07-14
Category : Computers
ISBN : 3540404643

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Handbook of Computational Statistics by Yuichi Mori Pdf

The Handbook of Computational Statistics: Concepts and Methodology is divided into four parts. It begins with an overview over the field of Computational Statistics. The second part presents several topics in the supporting field of statistical computing. Emphasis is placed on the need of fast and accurate numerical algorithms and it discusses some of the basic methodologies for transformation, data base handling and graphics treatment. The third part focuses on statistical methodology. Special attention is given to smoothing, iterative procedures, simulation and visualization of multivariate data. Finally a set of selected applications like Bioinformatics, Medical Imaging, Finance and Network Intrusion Detection highlight the usefulness of computational statistics.