Posts tagged as ' Monte Carlo Methods ' ...

Posted By Tommy

Handbook of Monte Carlo Methods

This book is going to be published in 2011. It explains in detail the theory and practice of Monte Carlo methods. For example, it will explain how to generate billions of random numbers and ensure that the numbers are really random. For example, MATLAB uses the Mersenne Twister algorithm by default, but in fact, this method is not suitable for Monte Carlo methods because of the fact that when you get an extremely low number from this algorithm, the next number will more likely be a low number as well. So, this book will teach us how to generate the random numbers appropriate to Monte Carlo methods.

The official citation for the book is:

D.P. Kroese, T. Taimre, Z.I. Botev (2011). Handbook of Monte Carlo Methods,
Wiley Series in Probability and Statistics, John Wiley and Sons, New York.

Currently, the site contains all the MATLAB code for the book. Although we don’t have the book yet, this means that we can still work through the problems. The site is at:
http://www.maths.uq.edu.au/~kroese/montecarlohandbook/

The book is currently listed at $127.72, but it looks like this price is including a 12% discount already. I suppose that after the preorder is finished, the price will go up to $145. You can preorder the book at Amazon.