Mathematics, Statistics, Operations Research, Engineering, Computing

For researchers and graduate students.- Level: Graduate TextbookG. Fishman, University of North Carolina, Chapel Hill, NC

Monte Carlo

Concepts, Algorithms, and Applications

(Springer Series in Operations Research. Ed.: P. Glynn)1996. Approx. 712 pp. Hardcover $69.00 ISBN 0-387-94527-X

This volume presents a comprehensive first course in the Monte Carlo method which will be suitable for graduate and undergraduate students in the mathematical sciences and engineering, principally operations research, statistics, mathematics, and computer science. The reader is assumed to have a sound understanding of calculus, introductory matrix analysis, and intermediate statistics, but otherwise the book is self-contained.

As well as a thorough exploration of all the important concepts of the Monte Carlo method, the volume includes over 75 algorithms which allow the reader to move rapidly from the concepts to putting them into practice. The book also contains numerous exercises, many of them hands-on implementations of selected algorithms to demonstrate the application of these ideas in realistic settings.

For professional mathematical scientists and engineers this book provides a ready reference to the Monte Carlo method, especially to implementable algorithms for performing sampling experiments on a computer and for analyzing their results.

This textbook provides a comprehensive self-contained account of the Monte Carlo method. Written by a leading expert, it contains numerous examples from different fields of application and descriptions of algorithms which will help the reader move rapidly from concepts to application. The author has also included many exercises designed to provide students with hands-on experience in implementing algorithms.

Software to implement techniques described in the book is available by anonymous FTP. A solutions manual is also available for instructors.

Recommended for Bookstores Appears in the Fall ’95 Bookstore Catalog