Conditional Monte Carlo: Gradient Estimation and Optimization Applications (The Springer International Series in Engineering and Computer Science) | 
 enlarge | Authors: Michael C. Fu, Jian-qiang Hu
Publisher: Springer
Category: Book
List Price: $222.00
Buy New: $151.90
You Save: $70.10 (32%)
New (15) Used (5) from $151.90
Rating:  1 reviews
Sales Rank: 3935286
Media: Hardcover
Edition: 1
Pages: 416
Number Of Items: 1
Shipping Weight (lbs): 2
Dimensions (in): 9.3 x 6.3 x 1.1
ISBN: 0792398734
Dewey Decimal Number: 003.76
EAN: 9780792398738
Publication Date: March 31, 1997
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| Editorial Reviews:
Product Description
Conditional Monte Carlo: Gradient Estimation and Optimization Applications deals with various gradient estimation techniques of perturbation analysis based on the use of conditional expectation. The primary setting is discrete-event stochastic simulation. This book presents applications to queueing and inventory, and to other diverse areas such as financial derivatives, pricing and statistical quality control. To researchers already in the area, this book offers a unified perspective and adequately summarizes the state of the art. To researchers new to the area, this book offers a more systematic and accessible means of understanding the techniques without having to scour through the immense literature and learn a new set of notation with each paper. To practitioners, this book provides a number of diverse application areas that makes the intuition accessible without having to fully commit to understanding all the theoretical niceties. In sum, the objectives of this monograph are two-fold: to bring together many of the interesting developments in perturbation analysis based on conditioning under a more unified framework, and to illustrate the diversity of applications to which these techniques can be applied.
Conditional Monte Carlo: Gradient Estimation and Optimization Applications is suitable as a secondary text for graduate level courses on stochastic simulations, and as a reference for researchers and practitioners in industry.
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| Customer Reviews:
It is really a good book. August 18, 1999
3 out of 4 found this review helpful
It is nice to be the first reader to review this book. From the perspective of a student, who took the class of Discrete Event System Simulation, I think the book helps in both theoretical and application aspects. It gives quite a few examples in Inventory Control, Financial Derivative Pricing, Queueing Systems. A little bit deep for a new starter.
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