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The Resource Independent random sampling methods, Luca Martino, David Luengo, Joaquín Míguez

Independent random sampling methods, Luca Martino, David Luengo, Joaquín Míguez

Label
Independent random sampling methods
Title
Independent random sampling methods
Statement of responsibility
Luca Martino, David Luengo, Joaquín Míguez
Creator
Contributor
Author
Subject
Language
eng
Summary
This book systematically addresses the design and analysis of efficient techniques for independent random sampling. Both general-purpose approaches, which can be used to generate samples from arbitrary probability distributions, and tailored techniques, designed to efficiently address common real-world practical problems, are introduced and discussed in detail. In turn, the monograph presents fundamental results and methodologies in the field, elaborating and developing them into the latest techniques. The theory and methods are illustrated with a varied collection of examples, which are discussed in detail in the text and supplemented with ready-to-run computer code. The main problem addressed in the book is how to generate independent random samples from an arbitrary probability distribution with the weakest possible constraints or assumptions in a form suitable for practical implementation. The authors review the fundamental results and methods in the field, address the latest methods, and emphasize the links and interplay between ostensibly diverse techniques.--
Member of
Assigning source
Provided by publisher
Cataloging source
GW5XE
http://library.link/vocab/creatorName
Martino, Luca
Dewey number
519.5/2
Illustrations
illustrations
Index
no index present
LC call number
QA276.6
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
http://library.link/vocab/relatedWorkOrContributorName
  • Luengo, David
  • Míguez, Joaquín
Series statement
Statistics and computing,
http://library.link/vocab/subjectName
  • Sampling (Statistics)
  • Statistics
  • Statistics and Computing/Statistics Programs
  • Mathematics of Computing
  • Quantitative Finance
  • Statistical Theory and Methods
  • Statistics for Engineering, Physics, Computer Science, Chemistry and Earth Sciences
Label
Independent random sampling methods, Luca Martino, David Luengo, Joaquín Míguez
Instantiates
Publication
Antecedent source
unknown
Bibliography note
Includes bibliographical references
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Contents
  • Intro; Contents; List of Tables; 1 Introduction; 1.1 The Monte Carlo Method: A Brief History; 1.2 The Need for Monte Carlo; 1.2.1 Numerical Integration; 1.2.2 Importance Sampling; Bayesian Inference via IS; 1.2.3 Quasi-Monte Carlo; 1.2.4 Inverse Monte Carlo; 1.3 Random Number Generation; 1.3.1 Random, Pseudo-Random, Quasi-Random; 1.4 Pseudo-Random Number Generators; 1.4.1 Nonlinear Recursions; Invariant Sets; 1.4.2 Chaotic Pseudo-Random Number Generators; 1.4.3 The Middle-Square Generator; 1.4.4 Linear Congruential Generators; General LCGs; 1.5 Random Sampling Methods; 1.5.1 Direct Methods
  • 1.5.2 Accept/Reject Methods1.5.3 Markov Chain Monte Carlo (MCMC); 1.5.4 Importance Sampling; 1.5.5 Hybrid Techniques; 1.6 Goal and Organization of This Book; 1.6.1 Motivation and Goals; 1.6.2 Organization of the Book; References; 2 Direct Methods; 2.1 Introduction; 2.2 Notation; 2.2.1 Vectors, Points, and Intervals; 2.2.2 Random Variables, Distributions, and Densities; 2.2.3 Sets; 2.3 Transformations of Random Variables; 2.3.1 One-to-One Transformations; Invertible Transformations; Non-invertible Transformations; 2.3.2 Many-to-One Transformations; Scale Transformation
  • 2.3.3 Deconvolution Method2.3.4 Discrete Mixtures; Partition into Intervals; Pdf Expressed as an Infinite Series; 2.3.5 Continuous Mixtures: Marginalization; 2.3.6 Order Statistics; 2.4 Universal Direct Methods; 2.4.1 Inversion Method; Numerical Inversion of FX(x)=u; Truncated Random Variables; Order Statistics; Maximum of N i.i.d. Random Variates; Dependent Random Variates; Inversion for Multivariate Targets; 2.4.2 Vertical Density Representation (VDR); An Alternative Interpretation of the VDR Approach; 2.4.3 The Fundamental Theorem of Simulation; 2.4.4 Inverse-of-Density Method
  • IoD for Monotonic Univariate Target pdfsIoD for Generic Target pdfs; Khintchine's Method for Monotonic Target pdfs; 2.5 Tailored Techniques; 2.5.1 Recursive Methods; 2.5.2 Convex Densities; 2.6 Examples; 2.6.1 Multiplication of Independent Uniform Random Variates; 2.6.2 Sum of Independent Uniform Random Variates; 2.6.3 Polynomial Densities with Non-negative Coefficients; 2.6.4 Polynomial Densities with One or More Negative Constants; 2.7 Summary; References; 3 Accept-Reject Methods; 3.1 Introduction; 3.2 Rejection Sampling; 3.2.1 Acceptance Rate; 3.2.2 Distribution of the Rejected Samples
  • 3.2.3 Distribution of the Accepted and Rejected Samples with Generic L>03.2.4 Different Application Scenarios; 3.2.5 Butcher's Version of the Rejection Sampler; 3.2.6 Vaduva's Modification of the Butcher's Method; 3.2.7 Lux's Extension; 3.3 Computational Cost; 3.3.1 Further Considerations About the Acceptance Rate; 3.3.2 Squeezing; 3.3.3 Sibuya's Modified Rejection Method; 3.4 Band Rejection Method; 3.4.1 Preliminaries; 3.4.2 Generalized Band Rejection Algorithm; 3.4.3 Payne-Dagpunar's Band Rejection; 3.5 Acceptance-Complement Method; 3.6 RS with Stepwise Proposals; 3.6.1 Strip Methods
Control code
SPR1030438624
Dimensions
unknown
Extent
1 online resource (xii, 280 pages)
File format
unknown
Form of item
online
Isbn
9783319726342
Level of compression
unknown
Media category
computer
Media MARC source
rdamedia
Media type code
c
Other control number
10.1007/978-3-319-72634-2
Other physical details
illustrations (some color)
Quality assurance targets
not applicable
Reformatting quality
unknown
Sound
unknown sound
Specific material designation
remote
System control number
  • on1030438624
  • (OCoLC)1030438624
Label
Independent random sampling methods, Luca Martino, David Luengo, Joaquín Míguez
Publication
Antecedent source
unknown
Bibliography note
Includes bibliographical references
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Contents
  • Intro; Contents; List of Tables; 1 Introduction; 1.1 The Monte Carlo Method: A Brief History; 1.2 The Need for Monte Carlo; 1.2.1 Numerical Integration; 1.2.2 Importance Sampling; Bayesian Inference via IS; 1.2.3 Quasi-Monte Carlo; 1.2.4 Inverse Monte Carlo; 1.3 Random Number Generation; 1.3.1 Random, Pseudo-Random, Quasi-Random; 1.4 Pseudo-Random Number Generators; 1.4.1 Nonlinear Recursions; Invariant Sets; 1.4.2 Chaotic Pseudo-Random Number Generators; 1.4.3 The Middle-Square Generator; 1.4.4 Linear Congruential Generators; General LCGs; 1.5 Random Sampling Methods; 1.5.1 Direct Methods
  • 1.5.2 Accept/Reject Methods1.5.3 Markov Chain Monte Carlo (MCMC); 1.5.4 Importance Sampling; 1.5.5 Hybrid Techniques; 1.6 Goal and Organization of This Book; 1.6.1 Motivation and Goals; 1.6.2 Organization of the Book; References; 2 Direct Methods; 2.1 Introduction; 2.2 Notation; 2.2.1 Vectors, Points, and Intervals; 2.2.2 Random Variables, Distributions, and Densities; 2.2.3 Sets; 2.3 Transformations of Random Variables; 2.3.1 One-to-One Transformations; Invertible Transformations; Non-invertible Transformations; 2.3.2 Many-to-One Transformations; Scale Transformation
  • 2.3.3 Deconvolution Method2.3.4 Discrete Mixtures; Partition into Intervals; Pdf Expressed as an Infinite Series; 2.3.5 Continuous Mixtures: Marginalization; 2.3.6 Order Statistics; 2.4 Universal Direct Methods; 2.4.1 Inversion Method; Numerical Inversion of FX(x)=u; Truncated Random Variables; Order Statistics; Maximum of N i.i.d. Random Variates; Dependent Random Variates; Inversion for Multivariate Targets; 2.4.2 Vertical Density Representation (VDR); An Alternative Interpretation of the VDR Approach; 2.4.3 The Fundamental Theorem of Simulation; 2.4.4 Inverse-of-Density Method
  • IoD for Monotonic Univariate Target pdfsIoD for Generic Target pdfs; Khintchine's Method for Monotonic Target pdfs; 2.5 Tailored Techniques; 2.5.1 Recursive Methods; 2.5.2 Convex Densities; 2.6 Examples; 2.6.1 Multiplication of Independent Uniform Random Variates; 2.6.2 Sum of Independent Uniform Random Variates; 2.6.3 Polynomial Densities with Non-negative Coefficients; 2.6.4 Polynomial Densities with One or More Negative Constants; 2.7 Summary; References; 3 Accept-Reject Methods; 3.1 Introduction; 3.2 Rejection Sampling; 3.2.1 Acceptance Rate; 3.2.2 Distribution of the Rejected Samples
  • 3.2.3 Distribution of the Accepted and Rejected Samples with Generic L>03.2.4 Different Application Scenarios; 3.2.5 Butcher's Version of the Rejection Sampler; 3.2.6 Vaduva's Modification of the Butcher's Method; 3.2.7 Lux's Extension; 3.3 Computational Cost; 3.3.1 Further Considerations About the Acceptance Rate; 3.3.2 Squeezing; 3.3.3 Sibuya's Modified Rejection Method; 3.4 Band Rejection Method; 3.4.1 Preliminaries; 3.4.2 Generalized Band Rejection Algorithm; 3.4.3 Payne-Dagpunar's Band Rejection; 3.5 Acceptance-Complement Method; 3.6 RS with Stepwise Proposals; 3.6.1 Strip Methods
Control code
SPR1030438624
Dimensions
unknown
Extent
1 online resource (xii, 280 pages)
File format
unknown
Form of item
online
Isbn
9783319726342
Level of compression
unknown
Media category
computer
Media MARC source
rdamedia
Media type code
c
Other control number
10.1007/978-3-319-72634-2
Other physical details
illustrations (some color)
Quality assurance targets
not applicable
Reformatting quality
unknown
Sound
unknown sound
Specific material designation
remote
System control number
  • on1030438624
  • (OCoLC)1030438624

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