Approximating Integrals via Monte Carlo and Deterministic Methods

Michael Evans, Timothy Swartz

ISBN 10: 0198502788 / ISBN 13: 9780198502784

Published by Oxford University Press, GB, 2000

About this Item

This book is designed to introduce graduate students and researchers to the primary methods useful for approximating integrals. The emphasis is on those methods that have been found to be of practical use, and although the focus is on approximating higher- dimensional integrals the lower-dimensional case is also covered. Included in the book are asymptotic techniques, multiple quadrature and quasi-random techniques as well as a complete development of Monte Carlo algorithms. For the Monte Carlo section importance sampling methods, variance reduction techniques and the primary Markov Chain Monte Carlo algorithms are covered. This book brings these various techniques together for the first time, and hence provides an accessible textbook and reference for researchers in a wide variety of disciplines.

Seller Inventory # LU-9780198502784

Bibliographic Details

• Title: Approximating Integrals via Monte Carlo and Deterministic Methods
• Publisher: Oxford University Press, GB
• Publication Date: 2000
• Language: English
• ISBN 10: 0198502788
• ISBN 13: 9780198502784
• Binding: Hardback
• Condition: New
• Weight: 559 grams

About this title

Synopsis

This book is designed to introduce graduate students and researchers to the primary methods useful for approximating integrals. The emphasis is on those methods that have been found to be of practical use, focusing on approximating higher- dimensional integrals with coverage of the lower-dimensional case as well. Included in the book are asymptotic techniques, multiple quadrature and quasi-random techniques and a complete development of Monte Carlo algorithms. For the Monte Carlo section important sampling methods, variance reduction techniques and the primary Markov Chain Monte Carlo algorithms are covered. This book brings these various techniques together for the first time, and provides an accessible textbook and reference for researchers in a wide variety of disciplines.

About the Author

This book is designed to introduce graduate students and researchers to the primary methods used for approximating integrals. The emphasis is on those methods that have been found to be of practical use, and although the focus is on approximating higher-dimensional integrals, the lower-dimensional case is also covered.