Simulation And The Monte Carlo Method

The authoritative resource for understanding the power behind Monte Carlo Methods. Most ideas are introduced and explained by way of concrete examples, algorith... » 

The authoritative resource for understanding the power behind Monte Carlo Methods. Most ideas are introduced and explained by way of concrete examples, algorithms, and practical experiments An extensive range of exercises is provided at the end of each chapter, with more difficult sections and exercises marked accordingly. Examples of cross-entropy programs, written in MATLAB, are given in an appendix. «