Principles Of Random Variate Generation

Author : John Dagpunar
Publisher : Oxford University Press, USA
ISBN 13 :
Total Pages : 256 pages
Book Rating : 4.03/5 ( download)

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Download or read book Principles of Random Variate Generation written by John Dagpunar and published by Oxford University Press, USA. This book was released on 1988 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt: An up-to-date account of the theory and practice of generating random variates from probability distributions is presented in this accessible text. After a brief introduction to simulation, the author discusses the general principles for generating and testing uniform and non-uniform variates. These techniques are applied to univariate and multivariate distributions, Markov processes, and order statistics. Dr. Dagpunar has included Fortran 77 programs for generating the more familiar distributions and a set of graphical aids for the manual generation of variates. Competing methods are also compared and their advantages and disadvantages discussed. In addition, algorithms throughout the book enable readers to generate variates from selected distributions, making this an invaluable guide for statisticians, operational researchers, computer scientists, and postgraduates engaged in computer simulation.

Author : Luc Devroye
Publisher : Springer Science & Business Media
ISBN 13 : 1461386438
Total Pages : 859 pages
Book Rating : 4.38/5 ( download)

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Download or read book Non-Uniform Random Variate Generation written by Luc Devroye and published by Springer Science & Business Media. This book was released on 2013-11-22 with total page 859 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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."

Author : Wolfgang Hörmann
Publisher : Springer Science & Business Media
ISBN 13 : 3662059460
Total Pages : 439 pages
Book Rating : 4.63/5 ( download)

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Download or read book Automatic Nonuniform Random Variate Generation written by Wolfgang Hörmann and published by Springer Science & Business Media. This book was released on 2013-06-29 with total page 439 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Author : James E. Gentle
Publisher : Springer Science & Business Media
ISBN 13 : 147572960X
Total Pages : 252 pages
Book Rating : 4.03/5 ( download)

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Download or read book Random Number Generation and Monte Carlo Methods written by James E. Gentle and published by Springer Science & Business Media. This book was released on 2013-03-14 with total page 252 pages. Available in PDF, EPUB and Kindle. Book excerpt: Monte Carlo simulation has become one of the most important tools in all fields of science. This book surveys the basic techniques and principles of the subject, as well as general techniques useful in more complicated models and in novel settings. The emphasis throughout is on practical methods that work well in current computing environments.

Author : Hrishikesh Venkataraman
Publisher : Springer Science & Business Media
ISBN 13 : 9400718276
Total Pages : 410 pages
Book Rating : 4.72/5 ( download)

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Download or read book Cognitive Radio and its Application for Next Generation Cellular and Wireless Networks written by Hrishikesh Venkataraman and published by Springer Science & Business Media. This book was released on 2012-04-28 with total page 410 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a broad introduction to Cognitive Radio, which attempts to mimic human cognition and reasoning applied to Software Defined Radio and reconfigurable radio over wireless networks. It provides readers with significant technical and practical insights into different aspects of Cognitive Radio, starting from a basic background, the principle behind the technology, the inter-related technologies and application to cellular and vehicular networks, the technical challenges, implementation and future trends. The discussion balances theoretical concepts and practical implementation. Wherever feasible, the different concepts explained are linked to application of the corresponding scheme in a particular wireless standard. This book has two sections: the first section begins with an introduction to cognitive radio and discusses in detail various, inter-dependent technologies such as network coding, software-based radio, dirty RF, etc. and their relation to cognitive radio. The second section deals with two key applications of cognitive radio – next generation cellular networks and vehicular networks. The focus is on the impact and the benefit of having cognitive radio-based mechanisms for radio resource allocation, multihop data transmission, co-operative communication, cross-layer solutions and FPGA-level framework design, as well as the effect of relays as cognitive gateways and real-time, seamless multimedia transmission using cognitive radio.

Author : Luca Martino
Publisher : Springer
ISBN 13 : 331972634X
Total Pages : 280 pages
Book Rating : 4.42/5 ( download)

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Download or read book Independent Random Sampling Methods written by Luca Martino and published by Springer. This book was released on 2018-03-31 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Author : Sheldon M. Ross
Publisher : Elsevier
ISBN 13 : 0080517226
Total Pages : 312 pages
Book Rating : 4.23/5 ( download)

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Download or read book Simulation written by Sheldon M. Ross and published by Elsevier. This book was released on 2006-08-01 with total page 312 pages. Available in PDF, EPUB and Kindle. Book excerpt: Ross's Simulation, Fourth Edition introduces 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 text explains 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. It presents the statistics needed to analyze simulated data as well as that needed for validating the simulation model. More focus on variance reduction, including control variables and their use in estimating the expected return at blackjack and their relation to regression analysis A chapter on Markov chain monte carlo methods with many examples Unique material on the alias method for generating discrete random variables

Author : Karl-Heinz Jöckel
Publisher : Springer Science & Business Media
ISBN 13 : 3642488501
Total Pages : 231 pages
Book Rating : 4.04/5 ( download)

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Download or read book Bootstrapping and Related Techniques written by Karl-Heinz Jöckel and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 231 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book contains 30 selected, refereed papers from an in- ternational conference on bootstrapping and related techni- ques held in Trier 1990. Thepurpose of the book is to in- form about recent research in the area of bootstrap, jack- knife and Monte Carlo Tests. Addressing the novice and the expert it covers as well theoretical as practical aspects of these statistical techniques. Potential users in different disciplines as biometry, epidemiology, computer science, economics and sociology but also theoretical researchers s- hould consult the book to be informed on the state of the art in this area.

Author : N. Balakrishnan
Publisher : Springer Science & Business Media
ISBN 13 : 0387096140
Total Pages : 714 pages
Book Rating : 4.48/5 ( download)

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Download or read book Continuous Bivariate Distributions written by N. Balakrishnan and published by Springer Science & Business Media. This book was released on 2009-05-31 with total page 714 pages. Available in PDF, EPUB and Kindle. Book excerpt: Along with a review of general developments relating to bivariate distributions, this volume also covers copulas, a subject which has grown immensely in recent years. In addition, it examines conditionally specified distributions and skewed distributions.

Author : Georg Pflug
Publisher : Springer Science & Business Media
ISBN 13 : 3642489141
Total Pages : 175 pages
Book Rating : 4.43/5 ( download)

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Download or read book Simulation and Optimization written by Georg Pflug and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 175 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume contains selected papers presented at the "International Workshop on Computationally Intensive Methods in Simulation and Op th th timization" held from 23 to 25 August 1990 at the International Institute for Applied Systems Analysis (nASA) in La~enburg, Austria. The purpose of this workshop was to evaluate and to compare recently developed methods dealing with optimization in uncertain environments. It is one of the nASA's activities to study optimal decisions for uncertain systems and to make the result usable in economic, financial, ecological and resource planning. Over 40 participants from 12 different countries contributed to the success of the workshop, 12 papers were selected for this volume. Prof. A. Kurzhanskii Chairman of the Systems and Decision Sciences Program nASA Preface Optimization in an random environment has become an important branch of Applied Mathematics and Operations Research. It deals with optimal de cisions when only incomplete information of t.he future is available. Consider the following example: you have to make the decision about the amount of production although the future demand is unknown. If the size of the de mand can be described by a probability distribution, the problem is called a stochastic optimization problem.