Simulation and the Monte Carlo Method (Wiley Series in Probability and Statistics) [Hardcover]

Reuven Y. Rubinstein (Author)

Book Description

Publication Date: May 14, 1981 | ISBN-10: 0471089176 | ISBN-13: 978-0471089179 | Edition: 1

This book provides the first simultaneous coverage of the statistical aspects of simulation and Monte Carlo methods, their commonalities and their differences for the solution of a wide spectrum of engineering and scientific problems. It contains standard material usually considered in Monte Carlo simulation as well as new material such as variance reduction techniques, regenerative simulation, and Monte Carlo optimization.

Editorial Reviews

Review

"The book is clearly written and easy to read for people with mathematical background.... The material of the book is useful in most areas of the nowadays research work." (International Statistical Review, April 2009)

"I enjoyed reading the book, and found the individual examples quite interesting." (Biometrics, December 2008)

"I enjoyed reading the book, and found the individual examples quite interesting." (Biometrics, December 2008)

"..if you need to learn how to use Monte Carlo in your simulations, this is probably the best single document I have ever read. "(Computing Reviews, September 2008)

"Rubinstein and Kroese did an exemplary job of addressing major issues and providing much needed updated information in this area." (CHOICE, June 2008)

"the book is nicely written and the additional to the book from the 1st edition certainly make it more attractive to a wider audience. I would recommend it to students and practioners with appropriate background." (MAA Review March 2008)

From the Publisher

Provides the first simultaneous coverage of the statistical aspects of simulation and Monte Carlo methods, their commonalities and their differences for the solution of a wide spectrum of engineering and scientific problems. Contains standard material usually considered in Monte Carlo simulation as well as new material such as variance reduction techniques, regenerative simulation, and Monte Carlo optimization.

See all Editorial Reviews

Product Details

• Hardcover: 304 pages
• Publisher: Wiley-Interscience; 1 edition (May 14, 1981)
• Language: English
• ISBN-10: 0471089176
• ISBN-13: 978-0471089179
• Product Dimensions: 9.1 x 6.1 x 1 inches
• Shipping Weight: 1.2 pounds (View shipping rates and policies)
• Average Customer Review: 3.7 out of 5 stars  See all reviews (6 customer reviews)
• Amazon Best Sellers Rank: #1,650,634 in Books (See Top 100 in Books)

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Customer Reviews

Most Helpful Customer Reviews

10 of 10 people found the following review helpful:

5.0 out of 5 stars excellent, February 12, 2008

By 

O.B. Bommel - See all my reviews

This review is from: Simulation and the Monte Carlo Method (Wiley Series in Probability and Statistics) (Hardcover)

This is an excellent textbook for a course on stochastic simulation

for senior and master students in science. It gives a comprehensive

treatment of all important aspects of dynamic discrete event

simulations with examples and applications in queueing and reliability

models. And each chapter concludes with many problems. In this respect

it is self-contained as it has a chapter on (basic principles of)

probability as well. Just a minor criticism is that the book handles

traditional simulation topics such as building simulation models

and verification/validation rather sketchy (in chapter 3). However,

there are many other topics that you quite often do not see in books on

simulation, like MCMC, optimization, rare-event simulation,

cross-entropy algorithms for combinatorial optimization. The authors

treat the mathematical background and details before giving the

simulation algorithms, which makes the book easy to use as a reference

and suitable for instruction and case studies.

Specifically, I enjoyed reading the last chapter on counting problems

and how to solve them (approximately) by Monte Carlo simulation. There

seems to be many open problems in that area and this chapter is a good

starting point for initiating interesting research.

8 of 9 people found the following review helpful:

5.0 out of 5 stars Computer Simulation in the Next Decade, May 6, 2008

By 

Don L. Mcleish (Waterloo) - See all my reviews
(REAL NAME)   

This review is from: Simulation and the Monte Carlo Method (Wiley Series in Probability and Statistics) (Hardcover)

Difficult computational problems often require solutions which adapt to the problem being solved. Such sequential methods are the focus of Simulation and the Monte Carlo Method, providing an algorithmic approach to hard counting and optimization problems, the simulation of rare-event probabilities through minimum cross-entropy, sensitivity analysis, and Markov Chain Monte Carlo.

This book, by two leading experts in the field, travels well-beyond the usual introduction to stochastic simulation and variance reduction to the heart of the adaptive tools required by the complex simulation and optimization problems of the next decade. I recommend the book for researchers and practitioners alike, interested in the extraordinary power and potential of modern Monte Carlo Methods for solving problems in modeling, statistics and optimization.

5 of 6 people found the following review helpful:

5.0 out of 5 stars Enthusiastic reader, January 16, 2008

By 

Alexander Shapiro - See all my reviews
(REAL NAME)   

This review is from: Simulation and the Monte Carlo Method (Wiley Series in Probability and Statistics) (Hardcover)

This book is supposed to be a revision of the classical book by Rubinstein 1981. As is pointed out in the Preface: "Dramatic changes have taken place in the entire field of Monte Carlo simulation [since 1981]". This edition includes a considerable amount of new, and important, material for which the authors were among principal developers. This alone makes this book a valuable addition to the recent literature on theory and applications of Monte Carlo methods. The book is written in a clear style and is a pleasure to read.