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AuthorHรถrmann, Wolfgang. author
TitleAutomatic Nonuniform Random Variate Generation [electronic resource] / by Wolfgang Hรถrmann, Josef Leydold, Gerhard Derflinger
ImprintBerlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2004
Connect tohttp://dx.doi.org/10.1007/978-3-662-05946-3
Descript X, 441 p. 89 illus. online resource

SUMMARY

Non-uniform random variate generation is an established research area in the intersection of mathematics, statistics and computer science. Although random variate generation with popular standard distributions have become part of every course on discrete event simulation and on Monte Carlo methods, the recent concept of universal (also called automatic or black-box) random variate generation can only be found dispersed in literature. This new concept has great practical advantages that are little known to most simulation practitioners. 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


CONTENT

1 Introduction -- 2 General Principles in Random Variate Generation -- 3 General Principles for Discrete Distributions -- 4 Transformed Density Rejection (TDR) -- 5 Strip Methods -- 6 Methods Based on General Inequalities -- 7 Numerical Inversion -- 8 Comparison and General Considerations -- 9 Distributions Where the Density Is Not Known Explicitly -- 10 Discrete Distributions -- 11 Multivariate Distributions -- 12 Combination of Generation and Modeling -- 13 Time Series (Authors Michael Hauser and Wolfgang Hรถrmann) -- 14 Markov Chain Monte Carlo Methods -- 15 Some Simulation Examples -- List of Algorithms -- References -- Author index -- Selected Notation -- Subject Index and Glossary


Mathematics Computer science -- Mathematics Computer simulation Computer mathematics Algorithms Probabilities Statistics Mathematics Computational Mathematics and Numerical Analysis Probability Theory and Stochastic Processes Mathematics of Computing Statistics and Computing/Statistics Programs Algorithms Simulation and Modeling



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