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Minimization Of Computational Costs Of Non-analogue Monte Carlo Methods: 5
Author(s): G A Mikhailov (Author)
- Publisher: World Scientific Publishing Co Pte Ltd
- Publication Date: 1 Jan. 1992
- Edition: Illustrated
- Language: English
- Print length: 172 pages
- ISBN-10: 9789810207076
- ISBN-13: 9810207077
Book Description
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.
