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Series on Soviet and East European Mathematics - Vol. 5
MINIMIZATION OF COMPUTATIONAL COSTS OF NON-ANALOGUE MONTE CARLO METHODS
by G A Mikhailov (Russian Academy of Sciences)
Non-analogue Monte Carlo methods are useful when the direct simulation techniques are insufficient. To use the additional discretization, Monte Carlo estimates are biased and it is desirable to optimize the connection between discretization parameters and the sample size. In this connection, the book investigates variances of non-analogue Monte Carlo estimates, uniform minimization of variances by choosing a computational model and the minimization of computational cost of non-analogue Monte Carlo methods.
This book is essentially new with respect to previous monographs on the Monte Carlo methods.
Contents:
- Non-Analogue Monte Carlo Methods (NAMCM)
- Minimax NAMCM
- Effective
NAMCM in Transfer Theory
- Solving Boundary Problems for Elliptic Equations
- Cost of Global Monte Carlo Methods
Readership: Applied mathematicians, computational mathematicians, physicists
and engineers.
| 172pp |
Pub. date: Jan 1992 |
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