Download e-book for iPad: Mean Field Simulation for Monte Carlo Integration (Chapman & by Pierre Del Moral

By Pierre Del Moral

ISBN-10: 1138198730

ISBN-13: 9781138198739

ISBN-10: 1466504056

ISBN-13: 9781466504059

In the final 3 a long time, there was a dramatic elevate within the use of interacting particle equipment as a strong device in real-world purposes of Monte Carlo simulation in computational physics, inhabitants biology, laptop sciences, and statistical computer studying. perfect to parallel and allotted computation, those complicated particle algorithms comprise nonlinear interacting leap diffusions; quantum, diffusion, and resampled Monte Carlo equipment; Feynman-Kac particle types; genetic and evolutionary algorithms; sequential Monte Carlo tools; adaptive and interacting Markov chain Monte Carlo versions; bootstrapping equipment; ensemble Kalman filters; and interacting particle filters.

Mean box Simulation for Monte Carlo Integration offers the 1st entire and sleek mathematical therapy of suggest box particle simulation types and interdisciplinary examine subject matters, together with interacting jumps and McKean-Vlasov procedures, sequential Monte Carlo methodologies, genetic particle algorithms, genealogical tree-based algorithms, and quantum and diffusion Monte Carlo tools.

Along with masking sophisticated convergence research on nonlinear Markov chain versions, the writer discusses purposes relating to parameter estimation in hidden Markov chain types, stochastic optimization, nonlinear filtering and a number of objective monitoring, stochastic optimization, calibration and uncertainty propagations in numerical codes, infrequent occasion simulation, monetary arithmetic, and unfastened strength and quasi-invariant measures coming up in computational physics and inhabitants biology.

This booklet indicates how suggest box particle simulation has revolutionized the sector of Monte Carlo integration and stochastic algorithms. it's going to support theoretical likelihood researchers, utilized statisticians, biologists, statistical physicists, and desktop scientists paintings greater throughout their very own disciplinary boundaries.

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Mean Field Simulation for Monte Carlo Integration (Chapman & Hall/CRC Monographs on Statistics & Applied Probability) by Pierre Del Moral

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