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Mathematics General

Approximating Integrals via Monte Carlo and Deterministic Methods

by (author) Michael Evans & Timothy Swartz

Publisher
Oxford University Press
Initial publish date
Apr 2000
Category
General
  • Hardback

    ISBN
    9780198502784
    Publish Date
    Apr 2000
    List Price
    $264.00

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Description

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.

About the authors

by Dr. Michael Evans and David Wichman ; art by Gareth Williams

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