Simulation

Cover
Academic Press, 31.12.2012 - 328 Seiten

The 5th edition of Ross’s Simulation continues to introduce aspiring and practicing actuaries, engineers, computer scientists and others to the practical aspects of constructing computerized simulation studies to analyze and interpret real phenomena. Readers learn to apply results of these analyses to problems in a wide variety of fields to obtain effective, accurate solutions and make predictions about future outcomes.

This latest edition features all-new material on variance reduction, including control variables and their use in estimating the expected return at blackjack and their relation to regression analysis. Additionally, the 5th edition expands on Markov chain monte carlo methods, and offers unique information on the alias method for generating discrete random variables.

By explaining how a computer can be used to generate random numbers and how to use these random numbers to generate the behavior of a stochastic model over time, Ross’s Simulation, 5th edition presents the statistics needed to analyze simulated data as well as that needed for validating the simulation model.

  • Additional material on variance reduction, including control variables and their use in estimating the expected return at blackjack and their relation to regression analysis
  • Additional material and examples on Markov chain Monte Carlo methods
  • Unique material on the alias method for generating discrete random variables
  • Additional material on generating multivariate normal vectors
 

Ausgewählte Seiten

Inhalt

Introduction
1
Elements of Probability
5
Random Numbers
39
Generating Discrete Random Variables
47
Generating Continuous Random Variables
69
The Multivariate Normal Distribution and Copulas
97
The Discrete Event Simulation Approach
111
Statistical Analysis of Simulated Data
135
Variance Reduction Techniques
153
Additional Variance Reduction Techniques
233
Statistical Validation Techniques
247
Markov Chain Monte Carlo Methods
271
Index
303
Urheberrecht

Andere Ausgaben - Alle anzeigen

Simulation
Sheldon M. Ross
Eingeschränkte Leseprobe - 2012

Häufige Begriffe und Wortgruppen

according additional algorithm amount approach approximately arrival average called Chapter choose compute conditional conditional distribution consider constant continuous coupons data values define denote density function determine discrete distribution function efficient elements equal Equation estimator event Example exceeds Exercise expected exponential random variables follows function F Give given Hence hypothesis identically importance increasing independent initial interested interval joint known less Markov chain mean method normal random variable obtain occurs otherwise outcomes p-value parameters permutation points Poisson process Poisson random variable positive possible preceding present probability quantity queue random numbers random vector represents Reset respective result sample sequence server simulation specified standard normal step stop successive Suppose technique trials uniform Var(X variance yields

Autoren-Profil (2012)

Dr. Sheldon M. Ross is a professor in the Department of Industrial and Systems Engineering at the University of Southern California. He received his PhD in statistics at Stanford University in 1968. He has published many technical articles and textbooks in the areas of statistics and applied probability. Among his texts are A First Course in Probability, Introduction to Probability Models, Stochastic Processes, and Introductory Statistics. Professor Ross is the founding and continuing editor of the journal Probability in the Engineering and Informational Sciences. He is a Fellow of the Institute of Mathematical Statistics, a Fellow of INFORMS, and a recipient of the Humboldt US Senior Scientist Award.

Bibliografische Informationen

TitelSimulation
Autor/inSheldon M. Ross
Ausgabe5
VerlagAcademic Press, 2012
ISBN0124159710, 9780124159716
Länge328 Seiten
  
Zitat exportierenBiBTeX EndNote RefMan